Senior Model Risk Governance recruitment
In particular, the group reviews economic and regulatory capital models, analyses complex model risk, and assesses appropriateness of risk measurement and reserve methodologies in major lines of business (Commercial Bank, Treasury Services, Asset Management, Corporate Treasury, Chief Investment Officer etc.). Team members have opportunities for exposure to a variety of business areas and research projects.
Core responsibilities:
• Analyze complex capital models, engines, and risk methodologies
• Assess suitability of pricing models and engines to particular products
• Liaise with the LOB and QR model developers, IB Model Review Group, Consumer Model Review Group etc.
• Lead model risk research projects
• Quantify model risk and assess reserve methodologies
Essential skills, experience, and qualifications:
• 10-15 years of relevant quantitative finance research, industry, risk analysis, or trading experience
• Excellence in probability theory, stochastic processes, statistics, econometrics, and numerical analysis
• Very strong analytical and problem solving abilities
• Good communication skills
• PhD or equivalent degree in Math, Math Finance, Economics (quantitative), Physics, Engineering, or Computer Science. PhD strongly preferred, but truly exceptional MS candidates may be considered, especially those with one to two years experience with portfolio risk models
• Model validation or model building/design experience
• C/C++ programming, Visual Basic a plus
Desirable skills, experience, and qualifications:
• Very good understanding of economic capital concepts
• Experience with Monte Carlo simulation and other numerical methods
• Experience with implementation of economic capital and portfolio credit models
• Experience in dealing with business unit professionals/managers on risk/model related matters
For further information please contact John Meadowcroft on 020 778 06700 / 020 7025 0420, or alternatively via e-mail John.Meadowcroft@AnsonMcCade.Com