Head of Quantitative Model Risk – Model Methodology recruitment
Head of Quantitative Model Risk – Model Methodology
A fantastic opportunity has arisen with a leading global banking group in their City office. You will be responsible for managing a project focussed on reviewing and validating the banks Internal Model Methodology. Primary responsibilities will be to plan and conduct stress testing and validation of the model implementation with a particular emphasis on scenario generation methodology.
You will be responsible for liaising with quantitative developers and internal and external auditors so will require strong relationship management and communications skills. In addition you should have strong quantitative expertise and be able to communicate articulately with technical and non technical clients. Significant recent experience of stochastic calculus and Monte Carlo simulation is essential and a further degree in a mathematically related discipline would be ideal. Strong programming experience in C++, PDE modelling exposure and recent derivative pricing model development and validation is essential.
Please submit your profile to keith.jones@allembyhunt.co.uk for consideration.