Our client is a leading global firm providing a wide range of banking, securities, management and wealth management services. The Firm's employees serve clients worldwide including corporations, governments and individuals from more than 1,200 offices in 43 countries. As a market leader, the talent and passion of their people is critical to the success. Together, they share a common set of values rooted in integrity, excellence and strong team ethic. They can provide a superior foundation for building a professional career - a place for people to learn, to achieve and grow. A philosophy that balances personal lifestyles, perspectives and needs is an important part of the culture.

 

Quantitative Model Auditor

 

The Quantitative Analytics Group (QAG), as part of the firm’s Internal Audit Department, provides an independent model audit control service for most of the firm’s pricing and regulatory market, operational and credit risk models. The team leverages its diverse quantitative skill sets and product knowledge to act as a guardian and approver of key pricing and risk models used for regulatory compliance and managerial decision-making. The group's major function is auditing (reviewing) the model and validation methodologies of other quantitative teams responsible for developing and validating the firm’s pricing and risk models.

Our Partner is seeking an experienced quantitative risk professional, with experience in quantitative finance and ideally hands-on model development or validation experience. The role is at Vice President level and reports to the Global Head of Quantitative Audit Group

 

Primary Responsibilities:

● Carrying out detailed quantitative review of pricing and risk models and their validations
● Reviewing risk and capital models and validations against applicable FED, OCC, PRA and ECB regulations
● Providing Subject Matter Expertise on model risk regulations
● Coordinating global model risk audit assessments
● Verifying closure of issues identified by regulators or from model risk audits
● Managing projects to ensure on-time delivery and quality control
● Interacting and maintaining relations with regulators and internal clients
● Periodic reporting to senior management

 

Skills Required:

● MS or Ph.D in a quantitative discipline
● 5+ year of experience in quantitative finance, commensurate with title/seniority
● In-depth knowledge of model risk regulations (SR11-7, SR15-18 and Basel rules)
● Hands-on model development or validation experience
● Exposure to wide variety of products and derivatives, risk analytics, validation methodologies and regulatory requirements
● Mature verbal and written communication skills and team worker

 

Skills Desired:

● Programming skills in at least one high level modeling language such as MatLab, Mathematica, FinCad, S+ or R

 

What we offer:

● Open, international and multicultural environment
● Opportunity to be part of a rapidly expanding organization
● Dynamic environment
● Great company culture supporting long-term career goals and work-life balance
● Competitive salary and cafeteria benefits


Place of work: Budapest / Hungary

 

 

 

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