Algo Model Validation

The Model Risk Management (MRM) team has a directive to review and approve the models used in the bank in order to make sure that the risk due to design and use of model is accurately managed and mitigated.

As a part of the MRM Algo Model Validation team, you will focus on the validation of front office algo trading models. The models in scope covers trading products from various asset classes with businesses spread across geographies.

We offer the opportunity to join a distributed MRM team, with established presence in New York, London, Zurich, Mumbai, Warsaw, Singapore and Hong Kong.

• As a validator, perform independent model reviews, conduct testing and produce validation documentation following internal model validation policies and guidelines of SR 11-7.
• Timely delivery of model reviews with effective challenge and escalation of identified issues. Able to manage working in flexible working arrangements.
• Liaison and collaborate with business partners across Trading, Front Office Quants, COO, IT and Risk Management for the model validation process.
• The truly global scope of model risk means that this role will involve working with an incredibly broad group of business partners from every part of the firm.

Your future colleagues

The Chief Risk and Compliance Officer function is a highly visible, dynamic area where you can be an integral part of the decision-making that supports the bank’s business. We drive strategic and sustainable returns, and offer risk, controls and regulatory advice. You will be part of a team that is renowned for its fast-paced, collaborative and diverse work environment. We believe our colleagues are our best asset. We are a department which values Diversity and Inclusion (D&I) and is committed to realizing the firm’s D&I ambition which is an integral part of our global cultural values.

We are looking for an applicant with Masters or PhD in a quantitative subject area, e.g. Mathematics, Physics, Engineering, Finance, and Economics. Equivalent experience of at least 4+ years in Algo Model Validation, Algo Development, or Front Office Quant team is preferred.

• Detailed knowledge of electronic trading systems, model methodologies for traded financial products, stochastic calculus, statistics, machine learning and numerical algorithms. Familiarity with algo modeling for market making, order execution, hedging is required.
• Hands-on experience of implementing statistical models and/or broader financial modeling. Proven experience on programming experience covering C++, Python or R.
• Client focus and the ability to communicate effectively with senior business partners, including the ability to explain complex topics to a diverse range of audiences.
• Self-motivation, field, task focus, has the ability to structure and present work. Write reports and a proven record of delivering high quality results to defined timelines.
• Dedication to fostering an inclusive culture and value diverse perspectives

Mr M. Payer would be delighted to receive your application.

Please apply via our career portal.