For Recruiters

Director - Derivative Pricing Models

Selby Jennings QRF
Manhattan, United States
Posted about 6 hours ago Hybrid Permanent Negotiable
A leading derivatives clearinghouse is hiring a hands-on Director to lead the Derivative Pricing Model life cycle. This is an instrumental hire in the effort to optimize settlement and reduce risk by over $3 trillion.

A leading derivatives clearinghouse is hiring a hands-on Director to lead the Derivative Pricing Model life cycle. This is an instrumental hire in the effort to optimize settlement and reduce risk by over $3 trillion.

The firm is building out it's model risk group across the USA, and this Director will manage 1-4 direct reports on the Model Validation team. This individual will be regularly involved in day to day quantitative analysis while managing junior members of the team.

Responsibilities:

  • Oversee the full risk model life cycle and lead end to end model validations
  • Manage a team building challenger models and performing quantitative analysis on derivative pricing and valuation
  • Liaise with model development and quant teams to challenge model building methodology
  • Present monthly to the model risk committee and senior risk personnel

Qualifications:

  • 8+ years in a quantitative Model Risk Management position
  • Master's Degree required, PhD preferred
  • Strong knowledge of derivative/option pricing, VaR modelling and backtesting, curve building methodology, prepayment modelling, and risk sensitivities/Greeks
  • Strong written and verbal communication and prior management experience
  • Proficiency in Python, R, SQL, MATLAB, and/or C++
job_description_image
Job ID  PR/366098
More Jobs From Selby Jennings QRF
Selby Jennings QRF
Delta One Strat
Selby Jennings QRF
Manhattan, USA
4 days ago Full time USD175000 - USD400000 per year
Selby Jennings QRF
Risk Quant Researcher - Equity Volatility Trading
Selby Jennings QRF
Manhattan, USA
3 days ago Full time Negotiable
Selby Jennings QRF
Senior Risk Analyst- Equity Risk
Selby Jennings QRF
Manhattan, USA
5 days ago Full time Negotiable
Selby Jennings QRF
AVP- Counterparty Risk Manager
Selby Jennings QRF
Manhattan, USA
1 day ago Full time Negotiable
Selby Jennings QRF
Senior Rates Quant Model Validation
Selby Jennings QRF
Manhattan, USA
4 days ago Full time Negotiable
Selby Jennings QRF
DeFi Quant Engineer
Selby Jennings QRF
Manhattan, USA
1 day ago Full time USD450000 - USD750000 per year
Selby Jennings QRF
Head of Crypto - Traditional Quantitative Trading Firm
Selby Jennings QRF
Flushing, USA
1 day ago Full time USD600000 - USD1100000 per year
Selby Jennings QRF
Head of Stat Arb - Crypto Hedge Fund
Selby Jennings QRF
Manhattan, USA
1 day ago Full time USD500000 - USD750000 per year
Selby Jennings QRF
VP Model Risk Analytics and Validation
Selby Jennings QRF
Manhattan, USA
1 day ago Full time Negotiable
Selby Jennings QRF
IT Audit Manager
Selby Jennings QRF
Jersey City, USA
1 day ago Full time Negotiable
Recommended Jobs
Selby Jennings Buyside
Managing Director - Head of Traded Risk
Selby Jennings Buyside
Manhattan, United States
C++ Quantitative Developer
New York, United States
Fourier Ltd
C++ Quant Developer/Engineer/Programmer – HFT
Fourier Ltd
New York, United States
Selby Jennings Strategy
Director - Risk & Analytics
Selby Jennings Strategy
Manhattan, United States