Address- Perform regular assessments of models, conducting in-depth analyses and testing to evaluate their behavior and effectiveness.
- Prepare comprehensive documentation on model specifications, implementation details, review outcomes, and limitations for submission to the Model Review team.
- Work closely with the model review team to address inquiries related to model reviews and resolve any identified model risk issues to ensure successful review outcomes.
- Collaborate with global teams to develop, maintain, and enhance pricing and risk models for various Rates derivative products.
- Conduct ongoing monitoring of model performance and assist in investigating and addressing any issues that may arise.
- Thorough understanding of advanced mathematics relevant to derivatives modeling, including probability theory, stochastic processes, partial differential equations, and numerical analysis
- Experience in Python/C++ programming
- Good understanding of derivatives modeling, stochastic processes, partial differential equations, and numerical analysis
