VP/ Junior D, Quantitative Model Risk Manager
- Report to the CRO and other senior stakeholders on the performance of the models, highlighting areas of poor performance having investigated and explained their drivers, and recommending remedial action.
- This is a new hybrid quant/ model-risk-manager role to take responsibility for the management of model risk and performance issues for the most significant models in the Market Risk and Counterparty Credit Risk spaces.
- Opportunity to allow a motivated and talented indiviudal to take responsibility for their modelling area, become the recognised SME for those models, and provide reports, investigation, and insight to the CRO and wider group of senior stakeholders.
- Extensive experience of designing, building, testing, and using quantitative risk models, in a Front Office or Risk environment.
- An uncompromising desire to investigate and understand the performance of models.
- Solid understanding of pricing and risk mesasurment models and techniques.
- A degree in a strongly mathematical subject is required; higher degrees such as PhDs and Masters are desirable.
- Ability to show strong mathematical, statistical, and analytical/ research skills.
- Strong programming skills (Python, Excel/VBA, and/or C#/C++) and awareness of good practice.