One of the top American Investment Banks in the Greater New York City area is hiring an experienced Senior-level Vice President to step into a management seat and join their Model Risk Management function. This hire will report directly up to the Head of the Group and be responsible for end-to-end validation of pricing and valuation models related to securitization and interest rates products.
This hire will be responsible for sitting in a 2nd line of defense role and covering the end-to-end model validation and review of pricing models, working cross-functionally with the model development, model sponsors, model users, and production teams, while also challenging the technical soundness of model design and frameworks through various forms of testing. This is a very hands-on role that offers broad exposure across a variety of models and products.
The firm is ideally looking for experienced candidates with a background in either development or validation working with models related to securitization or interest rates products (MBS, ABS, interest rates swaps, FX, options, etc.), and strong programming skills in Python. Additionally, a Master's degree with at least 5 years of experience will be necessary. If a PhD degree, then 3 years of experience will be needed.
Responsibilities:
- Hands-on end-to end validation and review of models relating to securitization or interest rates products (MBS, ABS, interest rates swaps, FX, options, etc.)
- Challenging the technical soundness of model design and frameworks through various forms of testing
- Covering the annual model performance review and revalidation
- Working cross-functionally with the model development, model sponsors, model users, and production teams
Qualifications:
- Master's degree in a quantitative field required (PhD degree is a plus)
- Prior experience in model development or validation of pricing and valuation models
- Strong programming skills in Python
