Head of Quantitative 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

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