VP - Model Development - ERC Team
We Offer:
The team is responsible for developing the methodology for many of the components of the bank's Economic Capital model. The responsibilities of the candidate would include:
- Understanding the Economic Capital measure and its various components;
- Developing, enhancing and maintaining economic risk capital models (e.g. Pension risk, Business risk, etc.);
- Proactively seek solutions to improve material parts of the model; review and improve component; identify the relevant sources of risk and assess their capture;
- Researching alternative methodologies, and comparing them; justifying and test the chosen option;
- Ensuring that the models adhere to internal and external policies/guidelines and pass model validation;
- Documentation of the models following internal and external standards (e.g. validation, SR 11-7), also ensure models are BCBS 239 compliant;
- Collaborating with quant developers and IT analyst to implement changes to the model;
- Establishing processes to monitor the models to ensure they remain fit for purpose;
- Presentations to senior management ensuring that model risk, technicalities, change impacts etc. are well understood;
- Support embedding ERC into critical management processes of the firm, including financial planning, strategic planning, risk appetite setting, assessment of new businesses/material trades, and ultimately performance management.
You Offer:
- At least 8+ years of experience in methodology development projects or a quantitative risk measurement role in a financial institution. Experience in Treasury risk, Pension risk, ALM modeling is desirable; previous Economic Capital experience is desirable
- Previous experience in leading methodology development projects and supervising quantitative analysts would be an advantage
- A candidate with degree in Quantitative Finance, Financial Engineering, Econometrics or Statistics is preferred. Accounting knowledge is desirable;
- Professional qualification e.g. CFA, FRM, PRM, CA, CQF would be an advantage;
- VBA, R, Python or SQL knowledge is an advantage;
- General knowledge of risk issues and investment products;
- Experience in methodology documentation is highly valued;
- Ability to work well in a global team, manage work and build relationships;
- Positive attitude, good communication, presentation skills;
- Ability to produce high quality, accurate work, under pressure and to tight deadlines;
- Willingness to take responsibility, challenge the status quo and ability to provide alternative solutions.
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