Responsibilities:

• Manage model risk across the model lifecycle including model validation, ongoing monitoring and annual reviews

• Provide challenge to pricing models assumptions, mathematical formulation, and implementation in order to assess their accuracy and robustness, by the use of mathematical tools and techniques

• Implement variety of tests aimed to examine model’s behaviour under different scenarios and market conditions

• Collaborate with senior personnel in delivering high-quality validation reports, highlighting risks and limitations of the model and quantifying model risk

• Manage stakeholder interaction with model developers and business owners during the model lifecycle

• Be present to assist in bank interactions with regulatory agencies, as required

Qualifications:

• Minimum of Master’s degree in a quantitative field (physics, mathematics, engineering or similar) and up to 2 years of relevant experience 

• Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, CPA or CFA 

• Ideally experience in modeling of FX derivative products, thouth Rates, Equity and Commodity derivatives experience will be considered.

• Strong derivative pricing skills a must (stochastic calculus, numerical techniques, coding in C++/python)

• Strong communication skills with the ability to find practical solutions to challenging problems 

• Team work and commitment a must

• Self-motivated and detail oriented

• Demonstrated project management and organizational skills and capability to handle multiple projects at one time

Education:

• Minimum of Master’s degree in a quantitative field (physics, mathematics, engineering or similar)

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.

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.