Lead Quantitative Analytics Specialist - Derivative Pricing - MRM
About The Position
About this role: Markets Model Risk Management (MRM) team is seeking an experienced Lead Quantitative Analytics Specialist (Vice-President) to join the Trading and Market Risk Division. Our diverse coverage offers a world of opportunities to expand your capabilities in both front office trading models and risk management exposure models to advance your career in quantitative risk management and market risk management. We invest in our people and provide a supportive environment in which to learn and grow. The ideal candidate will have deep hands‑on experience in derivative pricing within Rates, FX and Muni business units, including term‑structure modeling, volatility modeling, and curve construction. Their primary responsibility will be to deliver independent risk assessment of models across their entire lifecycle, ensuring robustness, accuracy, and alignment with model‑risk standards. In addition, the candidate will be expected to provide effective challenge to models developed within the lines of business (LOB), with a particular focus on the Rates, FX, and Muni business units, ensuring that assumptions, methodologies, and implementations are conceptually sound and appropriately governed. This requires an inquisitive mindset and a willingness to challenge (even established) modeling choices and assumptions, to design relevant testing scenarios, to numerically implement model components, to conduct and analyze comprehensive testing, and to develop alternative models. Each of these steps needs to be executed and documented with risk-based rationale to support or invalidate modeling choices, assumptions and adequacy in the context of the model purpose and usage. This highly visibly position will provide interaction with various key model stakeholders and therefore requires someone with the ability to develop and maintain strong strategic partnerships. The ability to communicate with different audiences (technical staff, senior management, regulators) both verbally and in writing is very important. The team operates in a fast-paced environment and the ability to multi-task and meet strict timelines is critical. In this role, you will:
Requirements
- 5+ years of Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education
- Master's degree or higher in a quantitative discipline such as mathematics, statistics, engineering, physics, economics, or computer science
Nice To Haves
- PhD in quantitative fields such as Mathematics, Statistics, Engineering, Physics, Economics or Computer Science
- Experience as a quantitative analyst specializing in financial models, with a strong theoretical foundation in derivatives pricing and hands‑on experience in model development, validation, and research n the areas of computational mathematics
- Expertise spans term‑structure models, volatility models, and curve construction under both single‑currency and cross‑currency frameworks
- Knowledge of regulatory requirements of industry practices in model risk management under SR 11-7.
- Hands-on object-oriented coding experience (Python, C++ and Java are most relevant)
- Knowledge of stochastic processes, stochastic calculus, Monte Carlo methods, numerical methods (finite differences, optimization…)
- Knowledge of derivatives products and related market risk management process
Responsibilities
- Perform model validations and clearly documenting narrative of validation perspective
- Provide effective challenge to models developed in the lines of business (LOB) with a focus on Rates, FX, and Municipal business units.
- Develop alternative benchmarking models or replicating LOB models (Corporate & Investment Banking - CIB)
- Reduce model risks to meet or exceed regulatory and industry standards
- Identify conceptual weaknesses in a model and understanding tradeoffs with other approaches
- Communicate model issues and limitations to key stakeholders
- Contribute to improvement of model building and use practices
- Provide leadership and consultation to less experienced validators
- Provide analytical support and offer insights regarding a wide array of business initiatives
- Interact with senior management and regulators on key modeling issues, including the identification, management, and mitigation of model risk
- Communicate with different audiences (other technical staff, senior management, and regulators) both verbally and in writing
- Manage relationships with key model stakeholders
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What This Job Offers
Job Type
Full-time
Career Level
Mid Level
