Alternative Modelling Group Quant Dev AVP

Job Summary

• Bromley
• Permanent
• BBBH820341
• Jun 24, 2022
• Competitive

Job Description
Global investment bank seeks an AVP level Quant Developer as part of their expanding Alternative Modelling Group & Quantitative Services to develop and deliver modeling solutions and analytical tools

As a team within Risk Analytics, Alternative Modelling Group & Quantitative Services partners with other GRA teams to develop and deliver modeling solutions and analytical tools, in order to address regulatory requirements; provide quantitative expertise for a broad range of modeling areas across the Enterprise; and build and maintain the analytics infrastructure which supports GRA's modeling libraries.

We are looking for technically minded problem solvers with the desire to work across a number of functional areas to drive the development of next generation risk and capital models; including champion and challenger, using traditional regression methods and next-generation modelling techniques.

• Critical to the role is to be able to think outside the box of current industry standards to develop innovative approaches to modelling problems
• Pro-actively work with stakeholders across the company to collect requirements and then identify and build modelling solutions to meet them; and effectively communicate those solutions to the stakeholders
• Ensure that next generation models are ready for enhanced climate risk requirements
• Provide insight and thought leadership into the development of new models, analytic processes or systems approaches
• Promote the adoption of GRA best practices for model development, implementation and monitoring
• Pro-actively work with stakeholders across the firm to identify opportunities to improve existing models/processes
• Produce clear and coherent technical documentation for internal and regulatory purposes
• Take ownership to deliver results and meet critical deadlines

Required Skills:

• Highly numerical degree (Masters required and PhD level desirable) in Statistics, Financial Mathematics, Applied Mathematics, Economics, Physics or Engineering
• Work experience in developing, documenting & maintaining risk and/or capital models and handling large datasets
• Technical skills: Statistics, Probability Theory, Econometrics, Financial Mathematics
• Strong programming skills; SQL, Python, VBA, Latex
• Strong technical writing and clear verbal communication skills
• Experience of, and ability to work under pressure and deliver to tight deadlines
• Ability to work independently, multitask and properly prioritize work
• Curiosity and willingness to develop and work on new ways of modelling

Desired Skills:

• Experiences in the areas of credit risk modeling, operational risk modelling, loss forecasting etc. preferred
• Knowledge of regulatory guidelines including CCAR, DFAST, CECL, DFAST, ICAAP.
• Strong stakeholder engagement skills with an ability to work with colleagues in other functions (business, risk and model validation)
• Organized, practical and execution focused with some project management experience
• Self-motivated and intellectually curious about both the role, supporting technologies and the wider bank

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

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