Quantitative Risk Director
Core
Leads a team responsible for the conceptual design, development, and maintenance of mathematical models for regulatory stress testing and capital adequacy assessments in trading and market risk.
Role type
Director, Risk Models (Global Risk Analytics)
Builds
Mathematical models for regulatory stress testing and capital adequacy assessments
Domain
Banking, Market Risk, Regulatory Compliance
Deliverable
production ML models | product features
Required skills
Python, SQL, Excel, team management, regulatory stress testing knowledge, financial derivatives knowledge, data analysis, problem solving
Preferred skills
Masters in Financial Engineering or quantitative subject, CCAR stress testing expertise
Technologies
Python, SQL, Excel
Responsibilities
Work with model users to understand business requirements; Conduct research and review regulatory requirements; Make recommendations on model methodologies and develop technical implementations; Provide business requirements and validation criteria to technology teams; Document model methodologies and testing results; Develop tools to assess and monitor model performance; Investigate and remediate modeling issues; Re-assess and test models against alternative models.
