Director, CIB Model Development

KEY RESPONSIBILITIES

• Develop portfolio risk measurement methodologies, including quantifying credit and market risk exposures and economic capital.
• Partner with Traders to develop statistical arbitrage strategies.
• Use value at risk techniques to measure the risk of loss on a portfolio of assets.
• Develop mathematical models for pricing, hedging and securities risk measurement.
• Build, test, implement, enhance and maintain, sophisticated quant mathematical models for pricing, risk management, market and asset class analysis.
• Research alternative models and numeral techniques, including models published in industry or academic publications.
• Support the design and delivery of CORTEX, including platform adoption, application development, ePricing, the multi-curve framework.

SKILLS AND EXPERIENCE

• Financial forecasting, modelling and analysis.
• Risk management, financial risk, and credit risk and operational risk.
• Balance sheet management.
• Experienced in using and adapting to client behaviors and preferences. 
• Financial Services regulatory experience.
• Data analysis and visualisation.
• Industry knowledge.
• Sustainable finance.