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Career Opportunity

Model Validation, Senior Rates Quant, SVP

Locations: Tampa, Florida Job Function: Risk Management Employee Status: Regular Job ID: 20171149

Overview:

This role sits in the rates pricing model validation team in Model Risk Management (MRM). The position requires an experienced candidate with strong technical, leadership, and organizational skills. The candidate should be fluent in derivative pricing for flow and exotic rates products and modelling approaches, and should have experience developing models either in a Front Office or Model Validation role. Knowledge and understanding of FX and XVA for rates would be valuable. Experience with Markov Functional modeling is preferred. A firm understanding of model risk management regulatory guidance SR 11-7 as it relates to effective model validation practices is expected.

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 subject matter expertise are critical. You will be interacting with senior members of the Front Office, Market Risk, Finance, and regulatory agencies as required.

Responsibilities:

  • Validate and manage model risk related issues in rates derivatives pricing.
  • Provide effective challenge to model assumptions, mathematical formulation, implementation, and
  • Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
  • Develop independent benchmark tools for validation purposes across the team.
  • Write high-quality model validation documents in compliance with model risk management policy and procedures, internal audit requirements, and regulatory guidance.
  • Provide subject matter expertise to stakeholders and guidance to junior team members.
  • Represent the firm in interactions with regulatory agencies, as required.
  • Contribute to strategic, cross-functional initiatives within MRM as needed.

Qualifications:

  • Master degree required; PhD preferred in quantitative discipline (

    mathematics, financial engineering, quantitative finance, mathematical finance, statistical analysis).

  • 7+ years of experience in interest rates model development or validation role.
  • Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, CPA or CFA 

  • Solid knowledge of interest rates modelling and products, term structure models, and industry best practices. Knowledge and understanding of FX and XVA for rates would be valuable.
  • Excellent quantitative and analytic skills; sound knowledge of stochastic calculus, Monte Carlo simulation, and numerical methods.
  • Strong communication and documentation skills are required.
  • Ability to work independently as a validator as well as collaboratively as a team player.
  • Working experience of Python is strongly preferred; knowledge of C++ is a plus.
  • Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

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Grade :All Job Level - All Job FunctionsAll Job Level - All Job Functions - US

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Time Type :Full time

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