Model Risk Manager
Core
Perform independent model validation, risk assessment, and policy enhancement for quantitative risk models in derivatives and structured products.
Role type
Model Risk Manager
Builds
Risk monitoring tools, challenge models, and validation frameworks for exotic equity derivatives.
Domain
Financial Services / Quantitative Risk Management
Deliverable
production ML models
Required skills
Derivatives pricing, Risk model validation (VaR, FRTB, SIMM), Quantitative finance theory, Programming (C++, Python, SQL), Model inventory management
Preferred skills
FRM/CFA, Exotic equity derivatives structuring, AI Agent deployment, Acadia RAL/ICE Data Derivatives/MSCI RM/Numerix/ORE experience
Technologies
C++, VBA, Python, R, SQL, Acadia RAL, ICE Data Derivatives, MSCI RM, Numerix, ORE
Responsibilities
Perform model assessment (assumptions, limitations, methodology), Identify and remediate model risk issues, Enhance model risk management policies and controls, Create new tools for risk monitoring, Participate in new product approval and risk system implementation, Perform independent model validation with replicating or challenge models
