Job Responsibilities:
- Manage the annual review of models used by the bank for measuring market and credit risk, suggesting improvements and action plans.
- 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.
- Review new pricing codes, covering consistency checks, 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.
Qualifications:
- PhD or a master's degree in Quantitative Finance, Mathematics, Physics, or other science disciplines.
- Experience working in capital markets, focusing on model risk, validation, model development or testing pricing models.
- Strong analytic and problem-solving skills.
- Experience using Python, C++, Matlab, R, Quic, Summit and/or NumeriX.
- Strong inter-personal and communication skills, with the ability to apply it to all levels and functions.
