Sr. Quantitative Finance Manager

Responsibilities

• Directs a quantitative team with model coverage of specified focus areas and oversees stakeholder engagement, including team effort in preparation for audit and regulatory exams
• Sets quantitative work priorities in line with the bank’s overall strategy and prioritization
• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation, while providing oversight to managers on reviews
• Maintains and provides oversight of model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite
• Led and provides methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk
• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes
• Captures and coordinates team projects, while managing and providing guidance to senior level staff on areas of expertise

Requirements

• PhD (preferred) or Master’s degree in quantitative fields such as financial engineering, mathematics, statistics, physics, computer science, or equivalent
• 5+ years of work experience in developing FO pricing models or market risk models
• Advanced programming skills in Python with 5+ years of experience
• In depth understanding of derivatives pricing especially the IR option pricing models
• Strong understanding of Value at Risk and statistical estimation methods
• Effective communication (both written and verbal) and collaboration skills
• Proactive independent thinking to identify/suggest/resolve issues