Perform qualitative and quantitative assessments of all aspects of models including data quality and integrity, theoretical assumptions and methodologies, and performance testing;
Assess conceptual soundness and performance of models based on detailed model documentation and testing results;
Perform independent testing of model assumptions;
Use quantitative tools and techniques to measure and analyze model risks;
Evaluate identified model risks and form clear, well-supported conclusions regarding model strengths and limitations;
Maintain ongoing communication with model stakeholders such as developers, owners, and reviewers;
Prepare comprehensive validation reports for internal/external audiences, including regulatory stakeholders, using applicable templates.

Master's or Ph.D. in a quantitative field such as Finance, Physics, Mathematics, or a related discipline with a stochastic calculus background.
8+ years of experience within the financial services industry in model development and/or model validation, covering one or more of the following areas: derivatives pricing, VaR, and counterparty credit risk.
Demonstrated ability to independently assess complex quantitative models, with strong written and verbal communication skills and the ability to clearly convey technical conclusions to diverse stakeholders.
Knowledge of regulatory requirements related to market and counterparty credit risk models, including derivatives pricing models, VaR models, PFE, CVA, and FVA.
Hands-on experience with Python; experience with QuantLib or other derivatives pricing libraries is preferred.

Senior Quantitative Analytics and Model Consultant – Capital Markets Models

Key skills