Model Validation Risk Quant, AVP

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Model Validation Risk Quant, AVP

Reporting to the Head of Risk Validation, this role is responsible for validating and testing a wide range of risk models which monitor, measure and stress test risks for the organisation. The key objectives of the Model Validation Quant are to provide independent test of the performance and integrity of risk models and risk data; challenge model development concepts and assumptions; and validate the accuracy of risk data used for decision making.

Position Deliverables

• Perform independent validation of key models used by risk management.
• Maintain and expand the automated risk validation program (Jupyter notebook).
• Validate risks as part of new product approval process (mainly futures and options for a broad range of assets classes including digital assets and cryptocurrencies).
• Occasionally contribute to company issued research projects, providing insight from a risk perspective (example: climate risk modelling, machine learning in risk, etc)

Requirements

• Masters in Financial Engineering or Quantitative Finance.
• Risk qualification (FRM, CFA, CQF, etc)
• 3+ years of relevant experience with risk management models such as margin or VaR models, credit stress testing, liquidity stress test, collateral valuation, derivates pricing, credit rating model, etc.
• Relevant experience in working with large data volume and with data warehouse and data mart.
• Strong technical coding skills in python, VB and SQL.
• Developing, testing and implementing python codes.
• Experience in setting up Jupyter notebooks and maintenance of codes in Bitbucket.

Please apply today for a confidential discussion on this role.

Sloane | Shorey

Sloane Shorey Consulting is a specialist recruitment firm focusing on compliance, controls and risk management positions across Asia Pacific. We are a Ministry of Manpower Licensed Employment Agency (EA License 20S0307).