Risk Manager - Financial Quantitative Risk Management

Risk Manager

(Financial Quantitative Risk Management)

- This position is part of the Financial Risk Management function which is responsible for model validation tasks for financial market products and other related requests.

Principal Responsibilities :

- Work within a multi-location team (London, Zurich and NY) on model validation tasks for derivative and security products valuation and risk methodology, covering various asset classes which include fixed income, equity, credit derivatives, insurance-linked derivative, and commodities. Model review of market risk aggregation methodologies such as VaR, Stress and credit risk measurement.

- Model review of financial risk representation in insurance products.

- Model validation tasks require critical analysis of product and modelling technique, model testing (including independent implementation of the model), alternative model analysis and documentation of results and conclusions. Follow up on identified issues, ensure resolution or containment.

- Produce documentation summarizing validation of the model in question according to the standards, quantify model risk.

Required profile :

Background :

- Strong academic background. A Master's Degree or equivalent in a quantitative discipline or a graduate in engineering from premier institutes is preferred

- Strong understanding of stochastic calculus, derivatives pricing theory & numerical methods is required

- Four - six years of experience in a modelling/model validation capacity is a plus

- Actuarial qualifications/professional experience in the field of (re)insurance is welcome

- It is essential that he/she possesses proactive attitude, and is able/willing to learn new areas and apply general technical knowledge to new specific situations.

- Very good written communication skills. An example of a technical report produced by the candidate would be requested as a part of the screening process

- Very good technical skills, ability and willingness to examine new systems and methodologies with perfect documentation

- Good organisational skills, ability to handle multiple priorities and meet deadlines

- Very good Excel and VBA skills

- Other programming environment experience is a plus.