Model Risk Program Analyst/Associate

Are you ready to make a significant impact in the world of model risk management? At Model Risk Governance and Review Group (MRGR), we are at the forefront of assessing and mitigating model risks across the globe. With a presence in major financial hubs like New York, London, Mumbai, Paris, and Hong Kong, our team collaborates with top professionals in Risk, Finance, and Model Development. This is your chance to work in a dynamic environment, gain exposure to various business areas, and contribute to critical decision-making processes.

 

As a Model Risk Analyst/Associate in the Model Risk Governance and Review team, you will play a crucial role in reviewing equity derivatives models and enhancing model risk governance. You will collaborate with model developers, trading desks, and risk professionals to ensure the soundness and suitability of complex pricing models. Together, we will drive innovation and maintain robust model risk controls.

 

Job responsibilities

• Analyse the conceptual soundness of complex pricing models and reserve methodologies.
• Develop and implement alternative benchmark models.
• Liaise with model developers, trading desks, and risk professionals to provide guidance on model risk and usage.
• Serve as the first point of contact for the coverage area.

 

Required qualifications, capabilities, and skills

• Excellence in probability theory, stochastic processes, statistics, and numerical analysis.
• Strong understanding of option pricing theory and quantitative models for derivatives.
• Experience with numerical methods such as Monte Carlo and PDE.
• Strong analytical and problem-solving abilities.
• MSc or equivalent in a relevant field.
• Proficiency in Python and C++ programming.
• Inquisitive nature with excellent communication skills.
• Teamwork-oriented mindset.

 

Preferred qualifications, capabilities, and skills

• Experience with equity derivatives.