Advanced Mathematical Modeller

We are seeking an accomplished Quantitative Risk and Model Validation Lead Analyst to join our Banking and Financial Services practice.

This role will be part of the broader Model Risk and Validation team, contributing to the design and validation of complex quantitative and mathematical models used across market risk, counterparty credit risk, and credit portfolio risk assessment.

You will be at the intersection of quantitative research and real-world applications, engaging with Finance, Treasury, and Business stakeholders to build, validate, and deploy models that support economic capital, risk measurement, pricing, and performance analytics.

As part of a larger Financial Services practice, you may get to work on a broad range of business-critical problems across various work streams. You will be engaging with clients and client partners to understand their business context, and work with a team of data scientists and engineers.

1. Design and validate advanced mathematical and statistical models used to evaluate economic and capital markets, including models for risk-neutral pricing, counterparty credit risk, and sector/industry risk.
2. Develop and validate macroeconomic quantitative models that forecast fundamental credit risk metrics such as default rates, charge-offs, severity, prepayments, and balance growth.
3. Build numerical simulation models for credit risk valuation and pricing of wholesale, retail, and structured credit exposures.
4. Translate quantitative research into high-impact business tools and insights for performance measurement, risk-adjusted pricing, and capital allocation.
5. Support model development and validation aligned with regulatory frameworks.
6. Engage stakeholders across Finance and Risk functions to ensure proper integration and utilization of economic capital models.
7. Lead or contribute to documentation, compliance, and internal/external audit requirements.
8. Mentor and guide junior team members and review the quality of modeling deliverables.

1. Degree in a quantitative discipline such as Mathematics, Statistics, or Physics.
2. 10+ years of experience in quantitative modeling, financial risk analytics, or model validation in commercial banking or major financial institutions.
3. Strong foundation in stochastic processes, time series modeling, portfolio theory, and option valuation.
4. Deep understanding of mathematical finance theories and their applications in credit risk and market risk.
5. Experience in designing models aligned with regulatory frameworks (Basel, CCAR, FDIC, etc.).

1. Expertise in quantitative risk modeling (credit, market, counterparty).
2. Prior experience working with structured products and sector/industry risk assessment.
3. Ability to translate quantitative models into value-added business tools for risk management and capital planning.
4. Familiarity with Economic Capital models and Risk-Adjusted Return on Capital (RAROC) frameworks.

• Latest Technology: We use cutting-edge technologies like machine learning and artificial intelligence.
• Global Exposure: You will get exposure to global markets while working with international clients.
• Learning & Development: We partner with top learning platforms. You will be encouraged to learn and grow.
• Growth Mindset: We encourage a growth mindset and believe that learning never stops.
• Additional Benefits: Health insurance (self & family), virtual wellness platform, fun, and knowledge communities.

We encourage a growth mindset and believe that learning never stops. There is no pressure on you to be a master of everything. With this attitude, we can make significant progress in areas that we know very little about today. Here, you'll work with people who share a collective passion to explore the limitless potential of data to solve complex problems.