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A top international investment bank is looking for an experienced model risk professional to join their model risk management team. You will be working closely with a great group of very strong quantitative professionals, specifically covering Equity Derivatives Pricing models. This is a high exposure role, where this person will have direct exposure to the front office and work closely with the finance and risk teams across the business working on derivative pricing models. Located New York City, this job is a great opportunity you that you don't want to miss out on.
What you can expect to be doing:
Providing independent validation of Equity Derivative Pricing models using quantitative methods
Presenting findings from your validation works to senior level management and stakeholders
Working along side risk, front office, and finance business lines
Providing model governance, developing and maintaining documentation
Acting as a leading team member, that can mentor junior members on the team
What we would like you to bring to the table:
Must have full time (not internship) working experience with Equity Derivatives in either model validation or development
A masters or PhD (preferred) in a quantitative discipline such as mathematics, physics, econometrics, statistics or financial engineering
Must have at least 5-7 years of fulltime experience working in a relevant position
Prior experience working in derivative pricing models
Extensive knowledge of stochastic calculus
Strong coding and programming skills in C/C++, Python, VBA and SQL