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Quantitative Risk Models Manager - Director
Description
This top tier IB is looking for a Quant Risk Models Manager to join at Director level reporting into the Head of Risk Models Group. The focus of the role will be on Counterparty Credit Risk modelling spanning simulation, valuation and aggregation models. Basic Accountability's - Ensure all Counterparty Risk model owners adhere to internal and external requirements. - Be responsible for sign-off on system changes - Draft submissions and presentations of CCR model change including user acceptance testing results and impact analysis. - Undertake ongoing independent reviews of the modelling capabilities identifying areas for improvement Requirements - Strong command of quantitative finance and statistics as necessary for counterparty risk exposure calculation - VERY strong documentation and presentation skill - VERY strong people management skills; ability to develop partner relationships, give guidance to partners and influence prioritisation - Seasoned professional career within the area of Counterparty Credit Risk. - Good knowledge of the end-to-end model process - Knowledge/experience of: Financial markets for traded asset classes Vanilla AND exotic derivative pricing models Financial risk factor simulation modelling Risk aggregation technique Alternative risk measures (PFE, EE etc...) Back-testing requirements and methodologies - Post-graduate qualification (Msc/PHD) in some quantitative/financial field (Maths, Sciences, Engineering etc...) - Internal Model Method (IMM) experience is also desirable McGregor Boyall is an equal opportunity employer and do not discriminate based on race, religion, gender, age, sexuality, gender identification, or physical ability.
Job Details
Job Ref: 219874666
Start Date: Tue, 30 May 2017 23:00:00 EST
Hours: Not Specified
Location: London, United Kingdom
Working Term: Permanent
Salary: GBP GBP - Annual Annual