Published on March 11, 2014
Director - Quant Developer (Model Implementation) OPPORTUNITY c£150-220k plus benefits & bonus Summary; Opportunity to develop and lead a team of technical quantitative developers providing model implementation advisory services across the financial sector.
ROLE PROFILE About the role The role is to assist with the on-going development and delivery of highly sophisticated technical modelling solutions to the firms’ banking clients, in relation to the market context mentioned later, as part of our Portfolio Management and Modelling proposition. The aim of the proposition will be to provide banking clients with a full analytical and decision making capability to transform their performance in the new environment, encompassing: • Strategy • Model design and build • Data and information infrastructure, governance and control Responsibilities of the role include: • Advising clients on all theoretical and practical portfolio modelling issues and modelling best-practice / Explaining the advantages and disadvantages of various modelling approaches • Heading teams of quantitative analysts to design, build, calibrate and test models with or for our clients • Ensuring the highest standards of model implementation and testing • Assisting with strategic portfolio and regulatory portfolio modelling and management projects • Develop internal models and ensure the highest standards of model implementation across all models • Managing the full life cycle of a portfolio of client engagements • Providing modelling advice where needed to support client teams • Active participation in the leadership of the Banking (Retail and Capital Markets) and Risk practice areas • Development (including recruitment and coaching) of more junior team members • Contribution to thought leadership and marketing initiatives • Collaboration with other relevant practice areas in Consulting and other lines of service (e.g. Assurance, Deals, Tax)
EXPERIENCE Candidates interested in this opportunity will be able to demonstrate all or most of the following; • Significant industry experience – either via a direct role or secondment. • Sound knowledge of fundamental derivative and loan pricing and valuation • Knowledge of portfolio modelling (including best practice correlation modelling), valuation/MTM, risk aggregation and risk allocation • A good understanding of the role of risk management in helping an organisation achieves its business goals. • Knowledge of risk-related regulation (such as Basel III) • Knowledge of both credit and market risk • Proven ability to come up with new innovative solutions • Significant programming knowledge and understanding of C++ (including the STL) and ideally Database programming languages / SQL • Understanding of model infrastructure requirements. • Outstanding implementation experience covering theory, implementation, calibration, testing, delivery and support • Experience leading at least one regulatory modelling project • Deep knowledge and direct experience of at least two of the following: stress testing, back-testing, Basel III, IMM submission, CVA/DVA, Fundamental Review of the Trading Book, model validation, large scale systems implementation (not solely single product experience) • Published research • First class degree (or equivalent) plus MSc or PhD in highly quantitative (applied mathematical) discipline and advanced degree • Communication skills, with particular emphasis on communicating technical complexity to both technical and non-technical audiences. • Strong people management and client relationship skills including inter-personal sensitivity, influencing and negotiation skills. • Ability to win work through technical knowledge • Creativity and problem-solving skills in individual, team and collaborative consultant-client settings. • Exceptional project and financial management skills with a track record of delivering complex programmes to budget and within time-scales. • Strong commitment to both personal and team success. • Openness and willingness to share ideas and knowledge
Contact: Ben Goodfellow Email: firstname.lastname@example.org Phone: +44203 589 9300 INTERESTED?
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