Director of Model Risk Management Director of Model Risk Management …

Selby Jennings QRF
in Rugby, England, United Kingdom
Permanent, Full time
Last application, 25 May 20
Negotiable
Selby Jennings QRF
in Rugby, England, United Kingdom
Permanent, Full time
Last application, 25 May 20
Negotiable
Selby Jennings QRF
A leading financial institution is building out its model risk function at a senior level and is hiring for a Director level model risk professional and join their Model Validation function. This team is responsible for all aspects of model risk, encompassing model governance & control, model validation, and model performance monitoring. This Director level hire will be instrumental in establishing all model performance monitoring standards for the firm and provide leadership and guidance on all model performance activities.

A leading financial institution is building out its model risk function at a senior level and is hiring for a Director level model risk professional and join their Model Validation function. This team is responsible for all aspects of model risk, encompassing model governance & control, model validation, and model performance monitoring. This Director level hire will be instrumental in establishing all model performance monitoring standards for the firm and provide leadership and guidance on all model performance activities.

What You Will Be Doing:

  • Developing and maintaining firm wide model performance monitoring standards
  • Managing model performance review and the non-models controls team
  • Reviewing model performance metrics
  • Reviewing back testing methodologies and providing approvals
  • Performing analysis as needed, in order to identify model limitations and performance issues

What We Need From You:

  • At least 10 years of experience working in a relevant, model validation, front office quant modeling, or risk analytics capacity
  • A PhD or a Master's degree in a quantitative discipline, such as mathematics, quantitative finance or economics
  • High level understanding of Matlab, VBA, SQL, R, Python, or C++
  • Strong understanding of regulatory requirements around model risk management
  • Experience and knowledge in VaR modeling and VaR backtesting
  • Knowledge of MBS pricing will be highly considered
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