Vice President - Market Risk Model Validation - Investment Bank

Job Description :

- Engage in quantitative model review and risk assessment of Market Risk models

- Take initiatives and responsibility of end-to-end delivery of a stream of Model Risk Management related deliverables for Market Risk models

- Follow financial markets and business trends on a frequent basis to enhance the quality of Model Risk Management.

- Write Model Risk Management findings in technical documents that will be presented both internally (model developers, business unit managers) as well as regulators.

- Verbally communicate results and debate issues, challenges and methodologies with internal audiences including senior management

- Manage a small team of Model Reviewers of Market Risk Models

Qualifications :

Skills required (essential) :

- Bachelors, Masters or Doctorate degree in a technical or quantitative finance-related area such as Statistics, Mathematics, Physics, Engineering or Quantitative Finance etc.

- Exposure to and experience in financial markets, products and businesses. 

- Exposure to and experience in Validation of Market Risk Models (e.g. VaR, RNIV, etc.) in peer Investment Banks.

- 10+ years of work experience in a bank or financial institution.

- Familiarity with essential quantitative techniques used in financial and econometric models.

- Familiarity with popular machine learning techniques.

- Programming skills in Python, or similar programming language.

- Strong written and verbal communication skills. Must be comfortable debating issues making formal presentations.

- Desire to work in a dynamic, team-oriented environment focusing on challenging tasks mixing fundamental, quantitative and market-oriented knowledge and skills.