Quantitative Analytics & Model Consultant Senior - Capital Markets Models
Core
Senior validator performing rigorous independent reviews of Capital Markets models including derivatives pricing, Value-at-Risk (VaR), and counterparty credit risk models.
Role type
Senior IC quantitative model validator
Builds
Independent validation reports and risk assessments for regulatory and internal stakeholders
Domain
Financial services / Capital Markets / Model Risk Management
Deliverable
production ML models
Required skills
Stochastic calculus, Derivatives pricing, Value-at-Risk (VaR), Counterparty credit risk, Python, Regulatory compliance
Preferred skills
QuantLib, Model development, Data analytics
Technologies
Python, QuantLib
Responsibilities
Assess conceptual soundness and performance of models based on documentation and testing results; Perform independent testing of model assumptions; Use quantitative tools to measure and analyze model risks; Evaluate identified model risks and form conclusions on strengths and limitations; Prepare comprehensive validation reports for internal/external and regulatory audiences.
Seniority
Senior, hands-on IC
