Director - Algorithmic Trading Model Validation
Posted on Apr 16, 2019 by Alexander Ash Consulting Ltd
We've been retained by a leading global Investment Banking giant, who have a unique senior opening for a Director-level Banking professional to lead their Algorithmic/Electronic Trading model validation, risk and review activity.
This role sits within the wider Model Risk Management team, which provides independent oversight of the models used across the Bank and provides a holistic view to senior managers. They are responsible for the independent review and risk analysis as well as governance activities.
This will include:
* Independently reviewing and challenging the methodologies used to revalue positions, in particular in the space of Algorithm trading.
* Reviewing, analysing and challenging the mathematical/theoretical soundness of the model, checking independently its robustness, the correctness of its implementation, the appropriate of the model given intended usage, considering both applicability to the products and the associated risks that are inherent with the specific modelling approach.
* Contributing to translating the model risk principle requirement into implementable activities such as testing approach and risk assessment.
* Extending, as required, the performed activities using one's own acquired expertise in the model.
Core Skills/Experience they are looking for:
* Experience in model validation, other quantitative risk management role or Front Office quantitative discipline.
* Excellent mathematical ability with a strong background in stochastic calculus, partial differential equations, Monte-Carlo methods, finite difference methods, numerical algorithms and statistical methods and statistic modelling.
* Strong understanding in financial markets, demonstrated by qualifications and experience
* A deep understanding of Algorithm models and cross asset pricing models (Equity, FX, IR).
* Experience in coding in Python in a managed codebase or equivalent languages
* Strong educational background (ie PhD, Master's, BSc/MSc or similar)
In return, this role offers an extremely attractive salary package and career prospects internationally.
Monarch Recruitment Ltd.