Quant Model Risk Associate Commodities

Description

We are looking for a new member to join our Commodities team in the Model Risk Governance and Review Group which is responsible for end-to-end model risk management across the firm. We adopt a comprehensive model risk management approach assessing models within their usage context and based on relevant success criteria. Our role involves identifying limitations communicating them effectively and assisting model users in the design compensating controls.

This approach requires strong technical skills and business understanding offering an excellent opportunity for skill development setting us apart from typical validation teams.

As a Quant Model Risk Associate within our Risk Management team you will be responsible for assessing and mitigating the risks associated with complex models used for valuation risk measurement capital calculation and decision‑making purposes. This role also provides the opportunity to gain exposure to various business and functional areas as well as collaborate closely with model developers and users. Unlike the theoretical empowerment seen at some banks our team is truly empowered to challenge front office models ensuring they meet rigorous standards before being used in production.

The bank genuinely values our role in providing effective independent challenge prioritizes model adequacy and fitness for purpose over business opportunities when needed.

• Carry out model reviews: analyze conceptual soundness of complex pricing models engines and reserve methodologies; assess model behavior and suitability of pricing models / engines for particular products / structures
• Provide guidance on model usage and act as first point of contact for the business on all new models and changes to existing models
• Develop and implement alternative model benchmarks and compare the outcome of various models; design model performance metrics
• liaise with model developers, Risk and Valuation Control Groups and provide guidance on model risk
• Evaluate model performance on a regular basis

• Excellence in probability theory, stochastic processes, statistics, partial differential equations and numerical analysis
• MSc, PhD or equivalent in a quantitative discipline
• Inquisitive nature, ability to ask right questions and to escallate issues
• Excellent communication skills (written and verbal)
• Good understanding of option pricing theory
• Good coding skills for example in C / C++, Python

• Experience with commodity derivatives
• Experience in a front‑office or model risk quantitative role

• Python
• C / C++
• Fortran
• R
• Data Mining
• Matlab
• Data Modeling
• Laboratory Techniques
• MongoDB
• SAS
• Systems Analysis
• Dancing

Employment Type:

Full-Time

Experience:

years

Vacancy: 1