Director Quant Analyst – Model Validation/Model Risk – Tier 1 Investment Bank – New York recruitment
Overview of role
Analyse models across different asset classes and lines of business to determine the characteristics and insufficiencies of models and assess their impact for measurement of model risk. In collaboration with other stakeholders and model users you will agree upon plans to monitor the performance of models throughout the model usage cycle. You will also work with technology teams in the firm to evaluate data and process synergies and improve the existing infrastructure.
The responsibility
These revolve around the measurement of model risk and the enhancement of the firms infrastructure to enable it support the requirements from a model risk perspective
- Develop model risk mesurement methodology
- Identify sources of model risk
- Partner with model validation in the lines of business on model risk analyses
- Enhance model inventory
- Monitor model performance
Requirements
- PhD, Maters or equivalent in a quantitative discipline from a top University
- At least 6 years experience as a modeller
- Broad knowledge of Pricing and Risk methods across any asset class
- Excellent communication skills
Send your CV immediately as interviews can take place at short notice
Feel free to call or email me (Simon) for more information on:
Simon@its-city.com
0044 203 283 4095