Job Responsibilities:
• Review the underlying theory, assumptions, limitations, implementation and testing of the models.
• Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
• Manage stakeholder interaction with model developers and business owners during the model lifecycle.
• Provide effective challenge to model assumptions, mathematical formulation, and implementation
• Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.

Qualifications:
• Minimum of Master’s degree in a quantitative field (e.g. Physics, Mathematics, Statistics, Finance, Computer Science, Engineering, etc.).
• Solid understanding of mathematical finance. Is a must (risk neutral pricing, stochastic calculus, numerical techniques).

• Ideally experience in modelling of credit derivative products or counterparty valuation models.
• Strong communication skills (both verbal and written) with the ability to find practical solutions to challenging problems.
• Solid writing skills: publications in peer-reviewed journals, industry presentations, etc. are considered as good evidence.
• Programming skills:  Python preferable

• Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable.

• Ability to work independently as a validator as well as collaboratively as a team player

• Candidates who do not meet these criteria but with exceptional skills and academic qualification and/or certifications may be considered for the role.

This job description provides a high-level review of the types of work performed. Other job related duties may be assigned as required.

Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

Valuing Diversity:
Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.