Corporate Title: Executive Director
Department: Risk Management
(1) Executing and maintaining an effective Model Risk management framework.
(2) Producing a consolidated view of Model Risk for comparison with the Model Risk Appetite.
(3) Independently validating the integrity and comprehensiveness of the Models in the Firm.
- Independent Validation of Algorithmic Trading Models, including
- Assessment of conceptual soundness of Algorithmic Trading Models, including the integrity and suitability of Model parameters
- Implementation testing
- Model Risk Analysis - to identify, analyse and quantify Model Risk
- Development and Execution of Model Performance Monitoring to ensure that Algorithmic Trading Models are performing as intended
- Design and implementation of Model Risk Control processes for Algorithmic Trading Models
- In addition to leading the team, the Head of AMVG will represent the function in applicable Model Risk Management Committees and meetings with auditors and regulators.
- A minimum of 7 years working experience in a quantitative environment
- A postgraduate degree in a quantitative discipline
- Established experience in Algorithmic Trading as a Model Developer or Model Validator
- Practical knowledge of optimization, statistics and machine learning
- Strong Model development skills
- Excellent verbal and written communication skills in English
- Ability to work in a fast-paced environment managing multiple stakeholders and conflicting deadlines
- Familiarity with Valuation Models across different asset classes
- PhD (or equivalent) in a quantitative discipline
- Managerial experience