Senior Quantitative Advisor (Model Risk Management) (SG Americas Operational Services, LLC, New York, NY)
Ensure that pricing models for interest rate, FX, equity, credit, and commodity assets are thoroughly assessed for conceptual soundness, implementation accuracy, model use, and outcome analysis and ongoing monitoring in accordance with regulatory requirements. Evaluate validation reports produced by the global model validation team (RISQ/RMA/MVA) to confirm adherence to model risk regulatory standards and complete the AMER standard review checklist. Generate validation reports through rigorous assessment of conceptual soundness, implementation accuracy, model use, and outcome analysis and ongoing monitoring per regulatory requirements. Conduct quantitative research and analysis to review and provide effective challenge of pricing models in line with regulatory expectations. Ensure models are free of arbitrage, produce accurate risk projections for trading and hedging, and demonstrate numerical stability and convergence using 1LOD’s ongoing monitoring frameworks. Communicate findings to local model owners and users, ensuring effective information sharing throughout the review process. Support compliance with SR 11-07 regulatory requirements in all validation activities. Implement governance for pricing models, including management of model risk limitations, compensating controls, findings, policy exceptions, model inventory, and storage of all model attributes within the official model risk management repository. Participate in recurring meetings with 1LOD partners to assess global research and trading direction and provide risk expertise. Mentor junior team members and provide guidance on quantitative techniques; promote collaboration and knowledge sharing with other quantitative analysis teams across regions. Stay informed on developments in quantitative finance research related to all asset classes and hybrids. Partial telecommuting permitted; on-site at 245 Park Ave., New York, NY 10167 when not telecommuting. Salary: $152,339 - $230,000 per year.
MINIMUM REQUIREMENTS: Master’s degree or U.S. equivalent in Mathematics, Financial Engineering, Quantitative Finance or related field, plus 5 years of professional experience as a Quantitative Analyst or any occupation, job title, position performing quantitative analysis & model validation related to pricing & risk management of derivatives at a global financial institution.
Must also have experience in the following: 5 years of professional experience pricing derivatives, including Caplets, Floorlets, Swaptions, Range Accrual Options, Cancellable Swaps, Bermudan Swaptions, Double Range Accrual Options, CMS Options, Mid-Curve Options, Bond Options, Bond Futures Options, Listed Futures Options, Repacks, Variance Swaps, TRS, Cliquets, CDS, and T-Locks, including those written on defaultable underlyings and payable in other currencies (including quantos). 5 years of professional experience analyzing and interpreting risk profiles of derivative products and designing or evaluating appropriate hedging strategies. 5 years of professional experience working with interest rate linear and vanilla derivatives (including Swaps, Futures, Forwards, Forward Swaps, Swaptions, Caps, Floors, and Bond Forwards), including Bor and RFR rate indices. 5 years of professional experience applying and implementing industry-standard models (including Black-Scholes, Black-Karasinski, Garman, Dupire Local Vol, Stochastic Local Vol, Hull-White, Heath-Jarrow-Morton, Brace-Gatarek-Musiela, Heston, Hybrid Copulas, and Carr-Madan Static Replication). 5 years of professional experience applying advanced mathematical methods to finance, including Ito Calculus, Monte Carlo simulation and variance reduction, differential equations
(including backward/forward grid solving), and optimization algorithms including Gradient Descent. 3 years of professional experience calibrating, maintaining, and validating interest rate volatility surface structures and SABR models, with expertise in managing arbitrage conditions arising from volatility smiles. 3 years of professional experience programming in Python and Excel, including Excel VBA. 3 years of professional experience validating pricing models for interest rate, FX., Equity, credit and commodity assets (including vanilla and exotic) to manage model risk and to execute the implementation of the governance for these models.
CONTACT: Please email resume to:
us-humn-recruitment@sgcib.com
. Must specify Ad Code MPDM in the subject line.