Responsibilities:
- Lead the Model Validation team on validating the banks internal models and communicating quarterly reports to the executive board.
- Responsible for ensuring team members are up to date with regulatory changes and framework.
- Perform hands-on analytical work
- Validate the pre-existing developed quantitative models through developing alternative modelling tools that follow set objectives and documented approaches, benchmarking of results with the validated model, error tapping and recovery.
- Lead and conduct the ongoing model performance monitoring for all the banks internal models - ensuring they meet the required standards and intended use.
- Carryout the technical review of risk and pricing models by analysing the conceptual soundness and development of the banks internal models, the verification of P&L explanations and validating the numerical methods used.
- Communicate clearly the required guidelines for documentation, testing and quality assurance for all the internally developed quantitative models and applications.
- Ensuring that the banks model inventory is up to date - including Identification, risk assessment and model performance.
- Conduct quantitative analysis on large data sets, data processing, and model performance metrics to facilitate and support the internal model validation teams independent review, findings and recommendations.
Qualifications:
- A PhD in Mathematics, Physics, Statistics, Engineering or an equivalent in other science disciplines.
- Experience working in capital markets, focusing on model risk, model validation, model development or testing pricing models, cross-asset exposure and knowledge of financial products i.e. FX/FI/Cross-currency swaps.
- Excellent understanding of Stochastic Calculus applied to quantitative finance and numerical optimisation techniques
- Strong working knowledge and proficiency with analytic and/or quantitative software in Python, R, C++, Matlab, Quic, Summit and/or NumeriX
- Previous experience in dealing with executive hires.
- Strong inter-personal and communication skills, with the ability to apply it to all levels and functions.
- Proven experience managing and guiding a team throughout projects.
- Strong quantitative abilities, including research into numerous quantitative approaches and theories underlying the banks various types of models and framework.