Model Governance , Aladdin Financial Engineering - Associate

Job Responsibilities

• Model Governance: work on the research and development of a model surveillance and model performance framework for the Single Securities Pricing Team (SSP), primarily focused on interest rate derivative models.
• Responsibilities will include implementation and maintenance of the model surveillance and performance monitoring infrastructure for the models supported by the team. Typically, this involves quantitative analysis of derivative model output and implementation of functions/applications, in Python, to compute thresholds and monitor ing of daily values.
• Enhance model documentation for a suite of pricing models supported by the team.
• Collaborate with the second line validation team in all aspects of model validation and compliance.
• Thought Leadership: keep abreast of recent trends in quantitative finance, capital markets and government regulation. Bring the latest techniques to bear on the problems we face in our day-to-day work.
• Closely collaborate with model owners to enhance the models based on findings.

Qualifications

• An undergraduate degree in a quantitative field such as Math, CS, Engineering or Physics is required . An advanced degree is a plus, but understanding modeling is more important than formal qualifications.
• Understanding of Fixed Income valuation and modelling concepts including but not limited to yield curve contraction techniques, risk-neutral pricing framework, and routes to calibrate the stochastic models.
• Coding is at the heart of everything we do. Expertise in Python and familiarity with C++ is needed. You are expected to have the expertise to develop Python applications leveraging in-house Python/C++ libraries.
• An Analytical Frame of Mind: keen interest in solving analytical problems is key.
• Excellent Communication Skills: you will be interacting with other teams in the firm. The ability to explain your research and results to your non-technical counterparts in terms that they can follow is important.