Director, Head of Interest Rate Model Validation (Hybrid)

Summary:

Head the rates pricing model validation team in Model Risk Management (MRM). The position requires an experienced candidate with strong technical, leadership, and organization skills. The candidate should be fluent in derivative pricing for flow and exotic rates products and modelling approaches. Knowledge and understanding of CVA/DVA/FVA for rates would be valuable. Thorough understanding of regulatory guidance SR 11-7 is required. The individual should be well versed with model validation practices with respect to effective challenge. Knowledge of CCAR\DFAST requirements as it relates to trading models is preferred.

The ability to work well with senior stakeholders within the firm and with our regulatory colleagues is essential. This role has high visibility and growth potential--clear communication and organizational command of the asset class are critical. The validation team consists of a strong group of quants requiring a candidate who can lead intellectually and practically to guide and develop careers.

Job Responsibilities:

• Manage a global team of model validators in rates derivative pricing and rates CVA modeling

• Represent the firm in interactions with regulatory agencies, as required

• Manage all aspects of rates model risk management processes and controls per MRM policies (e.g. Ongoing Monitoring, Annual Model Reviews, etc.).

• Implement and articulate model validation standards across the rates team.

• Contribute to strategic, cross-functional initiatives within MRM as needed

Qualifications:

• Masters or PhD in a quantitative field (physics, mathematics, computer science, etc.)

• 11 + years of experience developing rates models either within the Front Office or Model Validation. Experience with Markov functional modeling a plus.

• Experience with CVA/DVA/FVA models in rates (or other asset classes) preferred.

• Strong organizational and communication skills. The candidate must be able to manage many workflows and processes on a large inventory of models under his/her responsibility. The ability to condense complex issues and processes into consumable and practical actions for senior management and junior stakeholders alike is critical.

• Team work, commitment, and leadership a must. The candidate must want to belong to and lead a team by example, developing careers and fostering a strong culture of delivering results the right way.