Vice President - Derivatives Modelling - BFSI

Manage a local team of model validation quants for derivative pricing models for Trading and Hedges. This position requires strong derivative pricing skills as the successful candidate should be a thought leader and be able to drive content and standards for his or her team. Validation work will involve reviewing model assumptions, verifying the mathematical formulation, independently implementing the business/desk model when needed, developing benchmark models to conduct effective challenge, and assessing and quantifying model limitations to inform stakeholders of model risk to determine compensating controls. The successful candidate will be able to allocate resources as needed to meet a challenging and fast-paced environment that covers all asset classes in capital markets (equity, commodity, rates, etc.)

Job Responsibilities :

- Manage a team of model validation quants for derivative pricing

- Manage model risk across the model lifecycle including model validation, ongoing performance evaluation, and annual model reviews

- Represent the bank in interactions with regulatory agencies, as required

- Present model validation findings to senior validators and various model risk management stakeholders

- Provide effective challenge to model assumptions, mathematical formulation, and implementation

- Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls

- Contribute to strategic, cross-functional initiatives within MRM organization

Qualifications :

Desired Educational Qualification, Skills, Experience and Characteristics :

- Minimum of a Master's degree in a quantitative field (physics, mathematics, computer science, etc.)

- Experience in developing or validating derivative pricing models

- Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in C++/python)

- Strong communication skills with the ability to find practical solutions to challenging problems

- Strong leadership skills to build and manage a highly productive team

- Team work and commitment a must