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We are responsible for assessing and quantifying model risk -- the risk associated with the choice of models that are used to price exotic derivative transactions. As financial derivatives become more complex, so do the models used to value and risk manage them. Our group focuses on developing alternative models to quantify the sensitivity to choice of different models.
Verification of model implementation - we analyze all models used by the firm for valuing and risk managing derivatives contracts to ensure their consistency and validity.
We advise senior management on the risks associated with particularly large transactions.
Strong quantitative skills with a Ph. D in a quantitative discipline (Physics, Mathematics, Applied Mathematics, Computer Science, Statistics, Engineering, etc. )
Comfortable with programming, knowledge of C++
Comfortable in explaining complicated models in an intuitive way
Team player and has the ability to develop and implement solutions quickly
Comfortable in working in a fast paced environment