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model validation/ quant risk, vp (investment bank).

job details

summary

    job details

    about the company.
    Leading corporate investment bank

    about the team.International risk managers

    about the job.
    • Responsible for carrying out independent validations of quantitative models, to identify and communicate model risk
    • Review and validate models and methodologies across regions, businesses, functions and risk types within the bank
    • Liaising with first line of defence and other model stakeholders to ensure model reviews and model findings are adequately resolved
    • Maintaining sufficient rigor, challenge and consistency of model reviews, assuring quality through quality assurance reviews focusing on quality, presentation and consistency of Independent Model Review reports
    • Communicating across technical quantitative, business and strategic levels to ensure that stakeholders understand the implications of the firm’s model choices
    • Ensuring that the models and methodologies are assessed against methodological frameworks underpinning the group’s risk measurement and management initiatives
    • Ensuring through independent assessment and validation that the models operate within regulatory boundaries
    • Ensuring enterprise wide risk model review policies and standards are communicated, understood and embedded by stakeholders


    skills & experiences required.
    • Master’s or PhD degree in a quantitative discipline, i.e. Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering
    • Knowledge and skills with statistical modelling programming language e.g. SAS, Python, R, Matlab, C++, VBA
    • Experience of developing and reviewing models/conducting independent model reviews and presenting recommendations to senior stakeholders
    • Knowledge in one or more of the following areas: Stress Testing and Scenario Analysis models, Traded Risk and Pricing Models, Global Markets Trading & Hedging models, Asset Liability Models, etc
    • Comprehensive knowledge of statistical model and scorecard development techniques
    • Detailed knowledge of Risk models, performance metrics and risks and associated issues
    • Detailed knowledge of internal procedures and local regulations and those of other country regulators

    about the company.
    Leading corporate investment bank

    about the team.International risk managers

    about the job.
    • Responsible for carrying out independent validations of quantitative models, to identify and communicate model risk
    • Review and validate models and methodologies across regions, businesses, functions and risk types within the bank
    • Liaising with first line of defence and other model stakeholders to ensure model reviews and model findings are adequately resolved
    • Maintaining sufficient rigor, challenge and consistency of model reviews, assuring quality through quality assurance reviews focusing on quality, presentation and consistency of Independent Model Review reports
    • Communicating across technical quantitative, business and strategic levels to ensure that stakeholders understand the implications of the firm’s model choices
    • Ensuring that the models and methodologies are assessed against methodological frameworks underpinning the group’s risk measurement and management initiatives
    • Ensuring through independent assessment and validation that the models operate within regulatory boundaries
    • Ensuring enterprise wide risk model review policies and standards are communicated, understood and embedded by stakeholders


    skills & experiences required.
    • Master’s or PhD degree in a quantitative discipline, i.e. Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering
    • Knowledge and skills with statistical modelling programming language e.g. SAS, Python, R, Matlab, C++, VBA
    • Experience of developing and reviewing models/conducting independent model reviews and presenting recommendations to senior stakeholders
    • Knowledge in one or more of the following areas: Stress Testing and Scenario Analysis models, Traded Risk and Pricing Models, Global Markets Trading & Hedging models, Asset Liability Models, etc
    • Comprehensive knowledge of statistical model and scorecard development techniques
    • Detailed knowledge of Risk models, performance metrics and risks and associated issues
    • Detailed knowledge of internal procedures and local regulations and those of other country regulators