Job Description
**About this role**
**Who We Are**
Model Governance, for Single Security Pricing, is a global team across NY, Budapest and Gurgaon(India).
We develop methodologies, thresholds and boundary conditions, primarily, for Fixed Income Derivative Models.
These are then implemented as daily tests to grade model performance on a monthly/quarterly basis.
**What You Will Be Doing**
+ Understand the implementation of Fixed Income Derivative Pricing Models, written in C++: yield curve, inflation, FX and volatility derivative models.
+ Quantitative Modeling: Analyze model output, time-series to define correctness criteria and thresholding to be measured every day. Implement such tests in Python.
+ Interact with Model Risk Management to get Model Performance Monitoring Tests approved.
+ Model Infrastructure: Reporting Infrastructure for Model Breaches, Infrastructure for monitoring overnight performance tests
+ Model Documentation
...
**Who We Are**
Model Governance, for Single Security Pricing, is a global team across NY, Budapest and Gurgaon(India).
We develop methodologies, thresholds and boundary conditions, primarily, for Fixed Income Derivative Models.
These are then implemented as daily tests to grade model performance on a monthly/quarterly basis.
**What You Will Be Doing**
+ Understand the implementation of Fixed Income Derivative Pricing Models, written in C++: yield curve, inflation, FX and volatility derivative models.
+ Quantitative Modeling: Analyze model output, time-series to define correctness criteria and thresholding to be measured every day. Implement such tests in Python.
+ Interact with Model Risk Management to get Model Performance Monitoring Tests approved.
+ Model Infrastructure: Reporting Infrastructure for Model Breaches, Infrastructure for monitoring overnight performance tests
+ Model Documentation
...
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