Quantitative Model Auditor (Vice President) (Budapest)

Quantitative Model Auditor (Vice President) (Budapest)
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Quantitative Model Auditor (Vice President)

Location:

Budapest

Our partner is one of the global leaders in the financial sector providing a wide range of investment banking, management and wealth manegement services. We are looking for an experienced quantitative risk professional who has experience in quantitative finance and model development/validation.

Responsibilites:

  • Carrying out detailed quantitative review of pricing and risk models and their validations
  • Reviewing risk and capital models and validations against applicable FED, OCC, PRA and ECB regulations
  • Providing Subject Matter Expertise on model risk regulations
  • Coordinating global model risk audit assessments
  • Verifying closure of issues identified by regulators or from model risk audits
  • Periodic reporting to senior management
Requirements:
  • MS or Ph.D in a quantitative discipline
  • 5+ year of experience in quantitative finance
  • In-depth knowledge of model risk regulations (SR11-7, SR15-18 and Basel rules)
  • Hands-on model development or validation experience
  • Exposure to wide variety of products and derivatives, risk analytics, validation methodologies and regulatory requirements
  • Confident command of English

 

Budapest

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