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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
Lead and conduct the ongoing model performance m onitoring 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.
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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.