Head of Model Risk – IMM recruitment
The role focuses on managing the project to review and validate the bank’s IMM model. The holder of the role is expected to review and analyse the methodology of the model, particularly the scenario generation methodology, and to evaluate both its soundness and compliance with relevant regulations.
Responsibilities include:
- Plan and execute the independent testing and validation of the model implementation according to the bank’s standards
- Produce the documentation required for approval by the relevant governance committees and external regulators
- Conduct and oversee the review and validation of the bank’s IMM model as per policy
- Liaise with the model’s quantitative developers to ensure speedy review and validation of new model features.
- Establish and maintain relationships with internal audit units, external auditors and regulators.
Skills required:
- Educated to at least an MSc in mathematics, statistics, physics or a related field.
- Possess excellent analytical skills and knowledge of stochastic calculus, Monte Carlo simulations and PDE modelling.
- Able to manage the workload and priorities team and guide them in their day to day tasks
- Able to manage the key relationships of the role
- Sound judgement in assessing the strength and weaknesses of modelling approaches.
- Very strong programming skills, particularly in C++.
- Significant previous experience developing or validating derivative pricing models.
If you would like to apply for this role or find out more, please apply online or contact Anna Purves at Robert Walters on 0207 509 8745 or anna.purves@robertwalters.com quoting the Job Reference 1584870/APC
January 20, 2012
• Tags: Head of Model Risk – IMM recruitment, Risk Management careers in the UK • Posted in: Financial