Senior Quantitative Model Validator, Rates & FX Model Validation

About this role:

The Markets Model Risk Management (MRM) team is seeking an experienced Senior Quantitative Analytics Specialist - Market Risk Model Validator to join the Trading and Market Risk Division to support the independent validation of derivative pricing models used by Macro trading desk within Corporate & Investment Banking (CIB), with a primary focus on Rates and FX derivatives.

This position is dedicated to validating front office Rates and FX derivative models within the Corporate & Investment Banking (CIB) division. The role is closely aligned with the expansion needs of the Macro Trading Desk, supporting the development and implementation of new and enhanced models such as Term Structure Models, Curves, and Volatility Surfaces.

These models are designed for a range of products, including single currency and cross-currency Bermudan options, callable instruments, range accruals, collateralized inflation-linked floaters, hybrids, etc. The position offers significant exposure to the intricacies of complex derivative modeling while maintaining a strong commitment to model risk governance and control.

The role offers a unique opportunity to work at the intersection of front office quantitative modeling and regulatory model risk management, partnering closely with trading, quantitative research, risk, and senior stakeholders. The ideal candidate will have deep hands-on experience in derivative pricing within Rates, FX and Muni business units, including term structure modeling, volatility modeling, and curve construction.

Their primary responsibility will be to deliver independent risk assessment of models across their entire lifecycle, ensuring robustness, accuracy, and alignment with model risk standards. In addition, the candidate will be expected to provide effective challenge to models developed within the lines of business (LOB), with a particular focus on the Rates, FX, and Muni business units, ensuring that assumptions, methodologies, and implementations are conceptually sound and appropriately governed.

This role requires an inquisitive mindset and a willingness to challenge (even established) modeling choices and assumptions, to design relevant testing scenarios, to numerically implement model components, to conduct and analyze comprehensive testing, and to develop alternative models. Each of these steps needs to be executed and documented with risk-based rationale to support or invalidate modeling choices, assumptions and adequacy in the context of the model purpose and usage.

This highly visibly position will provide interaction with various key model stakeholders and therefore requires someone with the ability to develop and maintain strong strategic partnerships. The ability to communicate with different audiences (technical staff, senior management, regulators) both verbally and in writing is very important. The team operates in a fast-paced environment and the ability to multi-task and meet strict timelines is critical.

In this role, you will:

Perform independent model validation for front office pricing and risk models across Rates and FX businesses, clearly documenting validation conclusions and risk assessments

Provide effective challenge to models developed within the lines of business, particularly CIB front office quantitative teams

Validate models used for single currency and cross-currency Bermudan options, callable instruments, range accruals, collateralized inflation-linked floaters, FX Options, hybrids, etc.

• Review and assess term structure models, including multi factor interest rate models, as well as stochastic (local) volatility frameworks
• Develop benchmark or alternative models, or replicate front office implementations, to support validation conclusions
• Identify conceptual weaknesses, limitations, and assumptions in models, and clearly communicate associated risks to stakeholders
• Validate spreadsheet based and non library models, including controls, calculations, and governance standards
• Ensure models meet regulatory expectations and internal model risk standards
• Interact with front office quants, risk managers, senior management, and regulators on model related topics
• Provide guidance and mentorship to junior validators and contribute to process improvements within the MRM framework

Required Qualifications:

4+ years of Quantitative Analytics experience, or equivalent demonstrated through one or a combination of the following: work experience, training, military experience, education

Bachelor's degree or higher in a quantitative discipline such as mathematics, statistics, engineering, physics, economics, or computer science

Desired Qualifications:

PhD in a quantitative discipline such as Quantitative Finance, Computational Finance, Mathematics, Physics, Engineering, or Computer Science

Deep expertise in quantitative model development or validation within financial markets, with a strong theoretical foundation in derivatives pricing and proven experience in applied quantitative research, contributing to model design, enhancement, and validation methodologies.

• Advanced knowledge of term structure modeling, volatility modeling, and curve construction, spanning both single-currency and cross-currency frameworks
• Strong programming capabilities in languages such as Python, C++, or Java, with experience building and implementing production-grade models
• Experience partnering closely with front office quantitative and trading teams
• Hands-on experience with Rates and/or FX derivatives in a trading or front office adjacent environment
• Solid understanding or regulatory model risk frameworks

Job Expectations:

This position offers a hybrid work schedule

Willingness to work onsite at stated location on the job posting

Pay Range

Reflected is the base pay range offered for this position. Pay may vary depending on factors including but not limited to demonstrated examples of prior performance, skills, experience, or work location. Employees may also be eligible for incentive opportunities.
$139,000.00 - $239,000.00