Manager, Quantitative Analysis - Model Risk Office
Core
Validate market risk models for derivative pricing, valuation, and counterparty risk to ensure accuracy and robustness for senior management, business leads, internal audit, and regulators.
Role type
Manager, quantitative model validation (market risk/derivatives)
Builds
Production risk models and validation frameworks for derivative portfolios
Domain
Financial services, market risk, derivatives
Deliverable
production ML models | dashboards & analysis
Required skills
Statistical/econometric modeling, linear and logistic regression, machine learning, time-series analysis, panel data analysis, cross-sectional data analysis, survival analysis modeling, large dataset management (>1M records), Python, R, SQL, derivative modeling, CCAR regulatory requirements
Preferred skills
Advanced statistical modeling, regression analytics, fixed income/commodity/FX/CDS derivative modeling
Technologies
Python, R, SQL, open source tools
Responsibilities
Develop model approaches to assess model design and advance future capabilities; understand relevant business processes and portfolios; apply technical skills in econometric, statistical, and machine learning modeling to assess model risks; communicate technical concepts to non-specialist audiences and senior management; maintain model efficiency and accuracy through continuous improvement; develop high-quality transparent documentation; leverage open source technologies to identify framework opportunities
Seniority
Manager, hands-on IC with strategic oversight
