Quantitative Model Risk Manager (AVP/VP)
Consultant Elizabeth Tan (R1543873)
Date posted 30 November 2016
Due to business needs, a leading international bank is hiring a Quantitative Model Risk Manager (AVP/VP) to independently validate the bank's derivatives models.
About the Quantitative Model Risk Manager (AVP/VP) role:
This is a dynamic role within a well-regarded quantitative team that prides itself on a track record of delivery.
- Conduct validation and review of quantitative interest rates derivatives models
- Provide advisory and recommendations on improvements and alternative models
- Engage with various stakeholders (including traders, front office quants, market risk modellers and audit) on quantitative issues, and communicate issues identified together with corrective actions
- Maintain documentation required for validation and approval by model risk governance committees and external regulators
- Proactively contribute to bankwide efforts to improve risk modelling capabilities to add value and develop a best in class modelling framework
- Analysis and monitoring of P&L and market risk exposures for the derivatives portfolio in Asia
- Monitor and measure positions against the bank’s limits
- Build expertise on local regulations, risk methodologies and policies and industry developments in financial services
- Establish validation schedule based on business and regulatory needs
Tha ideal Quantitative Model Risk Manager (AVP / VP) will have 4-8 years' experience in either a front office quantitative or market risk model validation role.
- Degree in a quantitative subject e.g. Physics or Mathematics; Masters/PhD is a pre-requisite
- Prior experience with Derivatives models is ideal
- Proficiency in Excel, VBA and C++ is a must
- Excellent communicator with an analytical and challenging mindset
- Ability to work independently and engage with various stakeholders including traders, quantitative teams
This is a leading global firm with an extensive footprint in global markets and investment banking, and has a strong commitment to the long-term career development of its employees.
If you have a successful track record of being in a model validation role or quantitative team within the front office, you can take your career forward with this exciting Quantitative Model Risk Manager (AVP/VP) role in Singapore.
Apply today for this opportunity.
Robert Walters (Singapore) Pte Ltd
ROC No.: 199706961E | EA Licence No.: 03C5451
EA Registration No.: R1543873 Elizabeth Tan