Summary

This senior associate/vice president role reviews and helps mitigate model risk for interest rate derivatives pricing and risk measurement models. It includes managing, training, and mentoring junior team members; the working arrangement is not specified.

Responsibilities

• Review conceptual soundness of interest rate pricing models
• Assess model behavior across products and structures
• Develop benchmarks and model performance metrics
• Advise business users on model changes and usage
• Evaluate model performance and reserve methodologies
• Train and manage junior team members