Assistant Vice President - Decision Science

Job Description

Description We are currently seeking an experienced professional to join our team in the role of Assistant Vice President - Decision Science Principal responsibilities Develop and enhance risk models using real world data. The model could be an existing or a new model. Understand the features, assumptions and limitations of the model, propose a validation approach, identify target market data for the purposes of validation and undertake the validation within agreed time lines. The market risk models may include Value-at-Risk (VaR), Stressed VaR, Risk Not In VaR (RNIV), Stress Testing, Economic Capital, Incremental Risk Charge (IRC), Fundamental Review of Trading Book (FRTB) Participate in adhoc projects as they arise from time to time and provide any information relating to in a prompt and coherent fashion. Suggest improvements to the existing frameworks with a view to automate systems and help implement agreed changes Identify areas for efficiency improvements, automation and enhanced controls in existing processes. Document proposed changes and agree with the on-shore process team prior to implementation. Document all process changes and improvements to reflect the latest process Being able to clearly explain model details to other areas of the bank in non-technical language, and assisting in the on-going usage of these models in a day-to-day risk management setting, e.g. helping to explain significant model value changes Qualifications Qualification in Maths/Engineering/Science/Finance/Business Management or previous experience in risk management. Basic understanding of market risk measures and derivative products Professional qualifications such as FRM/PRM/CFA Levels are an added plus Good understanding of statistics Python and Excel VBA skills are a pre-requisite, C++ is an added benefit Competent in the production of information, and the ability to process and analyse large volumes of data Ability to work under pressure and to tight time-lines is essential Open personality and effective communication skills, ability and flexibility to work in an international team Ability to write clear and understandable documents