Quant Modelling - Vice President - Market Risk
Location: Greater London
Job Type: Full time
Model Risk Governance and Review (MRGR) is a global team of modeling experts within the firm’s Risk Management and Compliance organization. The team is responsible for conducting independent model review and model governance activities to help identify, measure, and mitigate Model Risk in the firm. The objective is to ensure that models are fit for purpose, used appropriately within the business context for which they have been approved, and that model users are aware of the model limitations and how they could impact business decisions.
MRGR CIB Non-Trading covers market models used within the Corporate & Investment Bank. This involves some of the most complex and advanced market risk models used in the industry.
As a member of the MRGR CIB Non-Trading team, you will be at the center of the firm’s model review and governance activities with exposure to a wide variety of model types and cutting-edge modeling techniques. You will have exposure to a variety of trading businesses and work closely with other Risk teams, Model Developers, Traders, and Finance all of whom play a key role in the day-to-day management of model risk.
This role will perform the following model risk management activities:
- Set standards for robust model development practices and enhance those standards as needed to meet evolving industry standards
- Evaluate adherence to development standards including soundness of model design, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and suitability of performance metrics
- Identify weaknesses, limitations, and emerging risks through independent testing, building of benchmark models, and ongoing monitoring activities
- Communicate risk assessments and findings to stakeholders, and document in high quality technical reports
- Assist the firm in maintaining (i) appropriateness of ongoing model usage, and (ii) the level of aggregate model risk within risk appetite
- Participate in model-related audits and regulatory examinations
Minimum Skills, Experience and Qualifications:
We are looking for someone excited to join our organization. If you meet the minimum requirements below, you are encouraged to apply to be considered for this role.
- A Ph.D. or Master’s degree in a quantitative field such as Math, Physics, Engineering, Computer Science, Statistics, Economics or Finance is required
- Several years of experience in a quantitative or modeling role. Candidates with significantly more experience may be considered for more senior roles
- Strong communication skills verbally and particularly in writing, with the ability to interface with front office traders and other functional areas on model-related issues, as well as write high quality technical reports
- Understanding of Python, R, Matlab, C++, or other programming languages, in addition to understanding of options and derivative pricing theory and risks
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis
- Risk and control mindset: ability to ask incisive questions, assess materiality of model issues, and escalate issues appropriately
- Strong project management and organizational skills: flexible, adaptable to shifting priorities to achieve the most effective result. Able to work in a fast-paced, results-driven environment