Quant Modelling Lead [Multiple Positions Available]

DESCRIPTION:

Duties: Responsible for work on the validation of risk models used in connection with regulatory capital measurement as well as market risk management.

Identify, communicate, and manage model risk associated with the use of these models across all asset classes such as Equities, FX, Credit, Rates, Commodities.

Independently conduct project work which aims to evaluate conceptual soundness of model specification, reasonableness of assumptions and reliability of inputs, completeness of testing performed to support the correctness of the implementation, robustness of numerical aspects, suitability and comprehensiveness of performance metrics and risk measures associated with use of model.

Lead the design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions, compare model outputs with empirical evidence or outputs from model benchmarks.

Assess how evolving market conditions may lead to model performance degradation and managing the risk associated with this.

Act as a point of contact who liaises with Front Office model developers and model users to monitor usage and performance of the models and syndicate the findings of the model validation process.

Document and explain review findings to model developers and risk management.

Manage a team of junior model reviewers and oversee their work to ensure that model risks are correctly identified, documented and communicated to the relevant stakeholders.

Liaise with regulators and answer regulatory questions on the design of the Firm's risk management models and model review findings.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Risk Management, Engineering (any), Finance, Mathematics, Statistics, or related field of study plus 5 years (60 months) of experience in the job offered or as Quant Modelling Lead, Model Governance Group Lead, Model Governance Group Senior Associate, or related occupation.

The employer will alternatively accept a PhD in Risk Management, Engineering (any), Finance, Mathematics, Statistics, or related field of study plus 3 years (36 months) of experience in the job offered or as Quant Modelling Lead, Model Governance Group Lead, Model Governance Group Senior Associate, or related occupation.

Skills Required: This position requires three (3) years of experience with the following: Mathematical skills in relation to models used in valuation and market risk management in international financial institutions; analyzing and manipulating complex data sets with application to data used in valuation and risk management models; Value-At-Risk modelling and regulatory and economic capital calculations, as well as models used in market risk management and stress testing including CCAR and ICAAP under different regulatory regimes; derivatives pricing theory and financial products in Interest Rates, Equities, Commodities, Foreign Exchange and Structured Pro...