Stakeholders include various working groups, model developers, risk managers, business clients, model validators, internal and external auditors, and regulators. Engage with stakeholders accordingly to:
Develop and implement methodologies, algorithms and diagnostic tools for testing model robustness, stability, reliability, performance and quality control of modelling data.
Conduct on-going model performance analysis (OPAs), annual model reviews (AMRs) , and revalidations.
Discover, understand and quantify model limitations
Provide comprehensive interpretations, explanations and conclusions
Work with partners to resolve model issues
Enhance efficiency and effectiveness of implementation of post model development analytics.
Automate and consolidate ongoing model analysis and the annual model review process across different models
Migrate analytics to a production environment as appropriate
Support various tasks in response to regulatory and internal risk management requirements.
Develop, maintain and enhance technical documentation including project plans, model descriptions, mathematical derivations, data analysis, process and quality controls.
A PhD or Master’s in a technical discipline ( e.g. physics, mathematics, statistics, engineering, economics, financial engineering, operational research or similar).
4+ years of experience in a comparable quantitative modeling or analytics role, ideally in the financial sector. Fewer years of experience will be considered with advanced degrees. Postdoctoral researchers are encouraged to apply.
Solid programming skills and experience with statistical data analysis, modelling techniques and numerical implementations. More specifically experience in Python Data Science Stack (NumPy, SciPy, Pandas, Scikit-Learn, Jupyter and IPython), R, Shell Scripts, UNIX, VBA, C/C++ (basic knowledge), SAS, Version Controlling (Git/Bitbucket) and basic database skills in either Oracle or Sybase/SQL .You may at least have experience in three of these techniques.
Experience in developing and maintaining detailed technical documentation for models, model validation, project plans and processes preferred (Experience in scientific research paper writing will be an added advantage ).
Strong written and verbal communication skills, and ability to discuss technical issues with stakeholders.
Ability to meet deadlines for product deliverables in a timely, proactive and entrepreneurial manor.
Demonstrated project management and organizational skills and capability to handle multiple projects at one time.