[FAM-news] Quant Position - Model Validator in Risk Management (fwd)

Walter Schachermayer by way of Andreas Schamanek schamane at fam.tuwien.ac.at
Thu Nov 16 16:25:58 CET 2006


---------- Forwarded message ----------
Date: Thu, 16 Nov 2006 15:15:02 -00
From: Heinz Geyer <hgeyer at ta-consult.com>
Subject: Quant Position - Model Validator in Risk Management

Maybe you can help me to find candidates for the positions listed below. The
vacancy may not be of interest to you personally, but as you are working in a
quantitative function you may be aware of someone who is looking for a new
challenge. In any case I wish to thank you for your attention.


Our client, a major international investment bank, is looking to hire for its
London office a

MODEL VALIDATOR, QUANTITATIVE RISK MANAGEMENT
The Role:
The role is one of a model validator in the Quantitative Risk Management Group,
which consists of seven people across New York and London. The position is
located in London. The successful candidate will have a highly quantitative
background, educated to at least Masters level or with a PhD in Mathematics or
another quantitative discipline, combined with extensive programming experience,
including C/C++ and ideally Visual Basic. Experience of statistics and
stochastic calculus is also preferable.
Daily tasks include:
Completing reviews of models, both produced in-house by the Front Office
Quantitative Analytics function, and those in external vendor systems. This
necessitates a full understanding and critique of the underlying mathematics,
combined with independent implementation and discussion of limitations and
weaknesses of models.
Extensive interaction with traders and front office quants. Individuals in the
group need to be able to develop a deep understanding of models in a very short
time frame, as often we will be brought into discussions about highly complex
models after significant effort has been expended by the Front Office on their
development.
Assisting risk managers and Finance with quantitative issues.
Assisting in the maintenance of risk inventories by model and prioritization of
models for review.
In certain cases, development of bespoke models to further assess those produced
by the Front Office.
Qualifications
Essential
Excellent quantitative and statistical skills.
Strong programming skills, including expertise in numerical analysis
Strong communication skills, both written and verbal. Ability to converse with
both traders and quants
Must Have Qualifications
At least Masters, or PhD in Mathematics or related quantitative scientific
discipline
C/C++ and preferably Visual Basic skills
Excellent Excel skills

Salary depending on experience plus performance-based bonus and usual banking
benefits.

Thank you in for considering this message.
Kind regards
Heinz Geyer

Temple Associatesl Executive Search
Tel: 0044 (0) 20-8343 7785
http://www.ta-consult.com/Geyer.htm
http://www.ta-consult.com



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