(Senior) Vice President - Model Risk, Risk Management

Job Duties:

1. Conduct independent quantitative reviews of the Market Risk, Credit Risk and pricing Models used within the group in accordance with internal standards and regulatory guidelines.
2. Play a major role in the definition and challenge of the group’s global modelling convergence across entities by helping reach full compliance with SFC Regulations.
3. Review and assess other models that may affect any of the market risk, credit risk or pricing cycle decision making process.
4. Provide challenge of conceptual soundness, reasonableness of model output, implementation and any other relevant modelling aspects impacting fit-for-use.
5. Work with validation managers to develop an appropriate validation plan to provide effective challenge commensurate with the level of model risk.
6. Produce documentation of effective challenge process and materials to support committees in review and decisions.
7. Assess ongoing model performance.
8. Defend conclusions to management.

Job Specifications:

1. Strong quantitative background, owning an MSc or PhD degree in a quantitative subject, preferably a degree in financial mathematics.
2. At least 5 years of relevant experience in producing high quality written technical documentation.
3. Experience in interacting with regulatory bodies through participation in on-site inspection missions.
4. Good communication and synthesis skills in addition to critical thinking capabilities and passion for learning.
5. Advanced knowledge of capital markets: how the markets operate, what the liquidity and price observability of the key products are, what the trading venues are, and what the various netting and collateral agreements are.
6. Familiarity with many pricing models as well as with market and counterparty risk modelling techniques.
7. Strong understanding of stochastic processes and derivatives pricing.
8. Good understanding of the regulatory requirements for the scope of models being in charge of.
9. In-depth knowledge of model risk management processes, regulatory requirements, internal policies, standards and templates.
10. Advanced programming skills in C++ / C# or other languages (R, Python, Matlab, etc) allowing fast assessment of model features and carrying out comparison of model alternatives.
11. Experience with model validation techniques and model risk management processes.
12. Ideally experience in market risk or trading with a good understanding of derivatives and associated risks.
13. Risk management background and associated measurement tools (i.e. VaR, Stress testing, Scenario analysis).