The Model Risk Governance and Review Group (MRGR) oversees model risk at the firm, conducts independent model reviews, and provides guidance around a model’s appropriate usage. The team is responsible for conducting independent model review and model governance activities to help identify, measure, and mitigate model risk in the firm. The objective is to ensure that models are fit-for-purpose, used appropriately within the business context for which they have been approved, and that model users are aware of the model limitations and how they could impact business decisions.

The MRGR CRM team covers state-of-the-art margining and credit risk measurement techniques used in Corporate & Investment Bank for management of credit exposure arising from security financing transactions, over-the-counter derivatives, and exchange traded products.

As a Quant Modelling Associate you will be a member of the MRGR team in New York City covering counterparty credit risk models where you will have exposure to multiple assets classes, and the firm’s counterparty credit risk management and collateral risk management processes. You will have day-to-day interaction with quantitative research teams, credit risk functions, and trading desks. Your position will focus on the following activities.

Responsibilities

Review methodologies for margining and measurement of credit risk. Evaluate the conceptual soundness and appropriateness of the model for its intended purpose, the reliability of the inputs, the reasonableness of the assumptions, and the model limitations.  Assess the adequacy of the testing to support the model assumptions and performance as well as the correctness of the implementation. Assist with model governance processes, issue management, and ongoing performance monitoring. Work closely with model developers, credit risk officers, and trading desks to help them understand methodology and usage; establish transparency around model controls, model limitations and performance. 

Required qualifications, capabilities, and skills

Quantitative background with at least a master’s degree in mathematics, science, engineering, statistics, quantitative finance, or similar. Strong quantitative, analytical, and problem-solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods, and stochastic calculus. Relevant quantitative experience at a similar bank/asset management analytics setup. Ability to work independently, with remote supervision, and meet deadlines. Strong communication skills and a team-player mind-set. Inquisitive nature, ability to ask the right questions, assess materiality, and escalate issues.

.Preferred qualifications, capabilities, and skills

Domain expertise in margining and credit risk measurement. Experience with counterparty credit risk in model validation and/or model development. Understanding of the finance industry, particularly in modelling – valuation, risk, capital.