Vice President - Model Development - Bank

Looking for a degree based on Mathematical Finance from a top tier university (Probability & Stochastic calculus)

- Experience in model development in derivatives (at least 5 years)

- Advanced C++ (at least 5 years)

- Scripting and Python experience.

Principal Accountabilities:

- Key activities and decision making areas Typical KPIs and Targets

- Impact on the Business

- Developing and enhancing the available products and models available to trade

- Enhance reserve methodologies

- Enhance model performance monitoring

- Developing and enhancing the Pricing Library's features to meet business requirements

- Building and releasing the components needed for the Analytics workflows

- Developing systems/infrastructure in collaboration with IT

- Timely completion of model development tasks with little or no bugs

- Positive feedback from the trading, structuring and valuation control desks

- Successful release of new models in quant libraries

- Successful release of Analytics components to Users

- Successful integration of our libraries by IT

- Automation. Efficiency gains (performance monitoring)

Customers/Stakeholders

- Being able to fully collaborate with onshore quants on big projects.

- Resolving issues raised by users and IT teams in using the Quant libraries.

- Positive feedback from Trading/Structuring/IT

- Successful integration of our libraries by IT

- Leadership and Teamwork

- Leading, Mentoring, and driving the team to success

- Organizing work load for the team

- Assisting other members of the Equities Quant team with technical issues.

- Assisting IT with any integration issues they may have with our libraries.

- Positive feedback

- Weekly update to senior management

- Team training

- Low attrition

- Operational Effectiveness and Control

- Following internal and regulatory guidelines for Releases and Documentation of the Quant libraries and tools

- Define and run the relevant tests

- Being able to roll back to a different version of the codebase, thanks to a robust versioning

Major Challenges (The challenges inherent in the role that require a continual test of the role holder's abilities)

- Programming in a professional standard ensuring industry good practices are followed.

- Development and deployment of features/bug fixes/components within reasonable and predictable timelines

- Proper monitoring and follow up of feedbacks/requests

- Continuous and proactive interaction with the relevant stakeholders

Role Context (The environment and operating conditions of the role including the extent of guidance and authority)

Manager responsible for the team deliveries:

- Develops new products with their appropriate model, model calibration tools and risks.

- Develops and maintains complex products such as Vol Caps, Quantitative Investment Strategies, Collateralized Loans, new one-off trades

- Defines model reserves methodologies in collaboration with Product Control and Trading. Monitors these reserves. Contributes to their industrialization

- Develop and maintain a testing framework for new products, the models, the Quant libraries and tools.

- Day to day support / Bugs fixing

- Assist in the release of the Quant libraries and tools

- Assist IT with integration issues

- Assist in deploying the product development tools and Analytics tools to users

- Management of Risk (Operational Risk / FIM requirements)

- Is aware of the Operational Risk scenario associated with the role and acts in a manner that takes account of operational risk considerations.

- Observation of Internal Controls (Compliance Policy / FIM requirements)

- Maintains internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators.

- Understands, follows and demonstrates compliance with all relevant internal and external rules, regulations and procedures that apply to the conduct of the business in which the jobholder is involved, specifically Internal Controls and any Compliance policy including, inter alia, the Group Compliance policy.