Job Responsibilities:
- Manage the annual review of the model risk management framework and it's models used by the bank for measuring market and credit risk, suggesting improvements and action plans.
- Help build out and maintain the internal quantitative library for the purpose of implementation of pricing and risk models.
- Performing Independent Model Validation of the pre-existing developed quantitative models that follow set objectives and documented approaches, benchmarking of results with the validated model, error tapping and recovery.
- Responsible for the continued monitoring and enhancement of the banks model governance framework - including the inventory and the approval process from a model control perspective.
- Review new pricing codes, covering consistency checks, the verification of P&L explanations and validating the numerical methods used.
- Working closely with the valuation and market risk teams, assisting in the decision-making process regarding the best modelling approaches, potential risk and limitations.
- Communicate clearly the required guidelines for documentation, testing and quality assurance for all the internally developed quantitative models and applications.
Qualifications:
- PhD or a Master's degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
- Desire to learn and develop in new areas of the bank.
- Experience working in capital markets, focusing on model risk, validation, model development or testing pricing models.
- Knowledge of Vanilla products - IR, FX, Swaptions, Swaps, Cross-Currency swaps, bonds.
- Strong analytic and problem-solving skills.
- Experience using C++, C#, Python, Matlab, R, Quic, Summit and/or NumeriX.
- Strong inter-personal and communication skills, with the ability to apply it to all levels and functions.
