Vice President - Model Analysis

Primary Responsibilities - 

- Quantifying model performance with an in-depth analysis of various model characteristics

- Heavy-duty empirical data analysis to identify potential model weaknesses

- Design and implement Python-based scripts within the firm's proprietary framework to facilitate model investigations and associated data analysis

- Investigate potential model issues.

Essential Skills - 

- Knowledge of Derivatives: Strong expertise on derivatives theory with very good understanding of Greeks (Delta, Gamma, Theta etc.) and other risk components.

- Programming: Good in algorithms and ability to code in high-level languages such as Python.

- Communication: Excellent written and verbal communication skills as the frequent sync-ups with the New York team would be required.

Desired Skills:

- Quantitative and Analytical Skills: Good knowledge in probability theory, statistics, econometrics and numerical analysis. Highly analytical bent of mind.

- Mathematical Finance: Experience with Stochastic calculus (SDE, PDE, FE etc.), Numerical algorithms (root finding, optimization etc.), statistical modeling (factor models, copula, Bayesian etc.), Time series analysis (ARIMA, GARCH, state space models)