Head of Model Validation Team recruitment
Group Market Risk
Major Investment Bank
The Front Office team of 10 Quants develops structured products for retail investors in the Nordic region and generates many new derivative structures for validation risk assessment by this Group risk function.
The current model validation team is two staff members, both experienced in programming as well as quantitative finance and we seek a manager to lead and help expand the team to take on increased work load new validation responsibilities.
RESPONSIBILITIES:
- Manage the Model Validation team
- Increase quality of model risk by improving validation process and management of model risk
- Ad hoc development of alternative models – at desk top / single trade level (currently in Matlab, with C++ capability)
- Model reviews of existing models – in collaboration with Front Office, Product Control and other Market Risk teams
- Challenge to Front Office models at code level
- Develop team's capacity to create make alternative models that can run on whole portfolios
- Develop relationships with Front Office model development teams, Market Risk and Business, to identify models risks for review
- Develop Model Validation / Model Risk as a centre of excellence for the modelling of risk
- Provide quantitative expertise to team members
ESSENTIAL SKILLS EXPERIENCE:
- Management skills
- Excellent mathematical skills mathematical finance
- Advanced programming in such as: VBA, C++, Matlab, etc.
- Strong in all the Risk measures (VaR, etc.)
- Validating stochastic valuation models, running Monte Carlo simulation and pricing esoteric assets
- PhD or equivalent in a quantitative subject
- Derivatives Trading background will be an advantage
December 9, 2011
• Tags: Derivatives careers in the Denmark, Head of Model Validation Team recruitment • Posted in: Financial