Director Market Risk Model Validation recruitment
Responsibilities:
• Plan and execute projects to assess soundness of the implementation, modeling approaches and business assumptions of key models used by the Treasury and Balance Sheet Management groups.
• Develop a thorough understanding of the relevance of the data utilized, the models’ conceptual framework, and how the models’ output is in ultimately used in making business decisions
• Independently research, identify and prototype industry best modeling practices.
• Contribute to the development and maintenance of enterprise-wide policies and procedures for validating models in accordance with OCC Bulletin 2011-12
• Interact with the business managers and developers
• Present validation results to senior management
• Analysis and Presentation of reviews and proposed recommendations, model limitations, and reserving methodologies to senior management.
• Coach and mentor junior staff
Requirements:
• 5+ years’ experience of Market risk, Capital Markets or Liquidity models at a commercial bank, investment bank, or consulting firm
• Strong experience in fixed income and derivatives pricing and risk methodologies, or econometrics (strong knowledge of multivariate distributions and time series analysis)
• Direct experience working with FinCAD, Murex, Polypaths, Reval, QRM and ADCO, or other comparable vendor analytics systems
• Advanced statistical skills especially in the area of hypothesis testing, regression and discriminant analyses
• Programming languages (Matlab, VBA, or C++), database queries (SQL)
• Advanced degree (PhD or MS) in a quantitative discipline (e.g., statistics, physics, math)
For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com
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