Assistant Vice President/Vice President, Model Risk & Market Risk
Core
Safeguard financial stability through rigorous model validation and governance for derivatives pricing models across interest rates, FX, and risk-related areas.
Role type
Senior IC model risk manager (derivatives)
Builds
Model governance framework, risk reports, and technical EUC tools for trading and treasury portfolios
Domain
Financial services / Quantitative finance
Deliverable
production ML models
Required skills
Derivatives pricing, Stochastic processes, Python, Model validation, Risk reporting, Regulatory compliance
Preferred skills
Matlab, C++, Power Query, Tableau, Excel (VBA), Stress testing
Technologies
Python, Matlab, C++, Power Query, Tableau, Excel
Responsibilities
Validate derivatives pricing models independently; Manage model inventory and governance practices; Prepare risk reports and PnL analysis; Liaise with auditors and regulators; Monitor risk limit excesses; Develop technical EUC tools.
Seniority
Senior, hands-on IC