Head of Quant Model Risk recruitment
Selected candidates would be responsible for:
- Overseeing, planning and execution of the review, and validation of the clients model as per policy, including establishing and maintaining working relationships with internal and external stake holders and regulators
- Understanding local and global regulatory requirements and be aware of market environment / practices that will impact the model, including liaisioning with quantitative developers to ensure speedy review and validation of new model features
- Independent testing of the model implementation according to the bank’s standards in addition to producing the documentation required for approval by the relevant governance committees and external regulators
- Developing, reviewing and ensuring compliance with the client’s policies and methodologies for models
- Team management including communication, business focus, succession planning and training
To be shortlisted for the role, you would have:
- Sound judgement in assessing the strength and weaknesses of modelling approaches, including evaluating both its soundness and compliance with relevant regulations
- Ph.D / Master's Degree in Mathematics, Statistics, Phyiscs or a related field, with significant experience developing or validating derivative pricing models
- Excellent analytical skills and knowledge of Stochastic Calculus, Monte Carlo simulations and PDE modelling, with strong programming skills using C++
- Good communication skills, and be able to manage good working relationship within the bank and outside including vendors and regulators
- Ability to manage workload and priorities of the team, and guide them in their day to day tasks
Interested applicants may please forward a recent copy of their resume in Microsoft Word format to pradeep@tychesearch.com
April 22, 2012
• Tags: Head of Quant Model Risk recruitment, Risk Management careers in the Singapore • Posted in: Financial