The ideal candidate will be conducting independent model validations of Capital Markets models. This individual will also develop model governance infrastructure and implement model risk management policies and procedures. In order to succeed in this role, the individual will need to understand regulatory mandates and assist in compliance programs. This team works closely with Product Control and Portfolio Analysis groups in analyzing and monitoring market, credit and liquidity risk. This individual will also work with the Front Office to establish and review risk appetite framework and business strategy to achieve revenue target and new business growth.
- 4-7 years of previous work experience
- Master's degree in finance, mathematics, engineering, computer science or related quantitative field, or its equivalent
- Knowledge of derivatives and their key risk, particularly interest rate and FX products
- Knowledge of pricing, risk and capital models
- Knowledge of risk management framework (e.g. Model validation SR11-07, Regulatory Capital, VaR and stress-testing standards, counterparty exposure estimation, liquidity estimation, model assessment and validation, documentation and reporting approaches)
- Good analytical and critical thinking skills
- Good communication skills and the ability to work on teams