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Associate at Aurion Solutions
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Vice President - Market Risk Model Validation - Investment Bank (9-15 yrs)
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.
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