Risk Manager, Associate / Vice President

  • 34670
  • Life - Other
  • |
  • Japan
  • |
  • Feb 1, 2019
  • |
  • Japanese
Bank or Investment Advisor
RESPONSIBILITIES
  • Assessment of the input parameters, major model assumptions, model theory, risks and mitigating factors.
  • Review of implementation, with benchmarking against approved models and/or independent re-implementation.
  • Model Risk analysis: identification, analysis, and quantification of model limitations.
  • Definition of mitigating actions, in agreement with all stakeholders.
  • Model Risk/Performance Monitoring and Reporting.
  • Build simple tools supporting day to day model validation activity.
  • Clearly and concisely communicate the results of the Model Validation analysis to the rest of the team, other less quantitative functions and senior management.
  • Design and implement tests adapted to the specificities of the model.
  • Closely work with all stakeholders.
  • Understand the basic regulatory framework.
QUALIFICATIONS
  • A postgraduate degree in a quantitative discipline.
  • 2-5 years of working experience with derivatives models.
  • A working programming experience.
  • Excellent verbal and written communication and interpersonal skills in English.
  • PhD in a quantitative discipline.
  • Experience with Equity models / products.
  • Knowledge of numerical methods.
  • Significant working experience in Model Validation or Model Development teams.