Model Validation – Dublin – Leading Bank
My client, a leading Irish bank, is currently expanding its market risk model validation department. The team is responsible for product analysis, model validation and model risk evaluation related to the exotic derivatives businesses. As a result of this expansion, an exciting opportunity has arisen in the Risk Management Department.
Main Duties:
- Quantitative review and analysis of exotic product valuation models, including theoretical review, assessment of appropriateness, implementation testing, independent implementation, development of alternative models.
- Product approvals, model reviews, model risk evaluations and model risk provisioning design.
- Close communication cooperation with the front office, quant developers, finance as part of the trade approval process.
- Quantitative review and analysis of VaR models, including theoretical review, implementation testing, assessment of appropriateness, independent implementation, development of alternative models.
- Documentation of analyses findings to Bank standard.
Experience required:
- Exposure to standard market products models.
- Experience of exotic product risk analysis.
- Experience of model review critique.
- Experience of model testing independent implementation.
- Excellent communication/writing skills.
- Programming experience (C++, C, VBA).
- Experience in model development or model validation within an investment bank.
- Experience interacting with risk managers, traders, quants and product/trade controllers would be highly desirable.
- Postgraduate level education in a quantitative subject, e.g. mathematics, physics, engineering, finance.
Interviews are already being conducted for this exciting role so if you believe your profile is right please call or send your CV ASAP. Also I am looking for market risk candidates at a number of different levels so am happy to have a confidential discussion with you.
August 5, 2009
• Tags: Dublin, Leading Bank, Model Validation, Risk Management jobs and careers in Ireland • Posted in: Financial