Reporting to the Local Head of Risk Management Audit and the Global Head of Quant Analytics, this Model Validation Audit role is a key position in both the Risk Audit and Quantitative Analytics Group supporting Model Validation.

You must have strong quantitative skills and market risk knowledge as a practitioner with experience in major asset classes. In particular the successful individual will conduct reviews of risk management and capital models.

You will have experience in VaR methodology, including the Regulatory stressed VaR, Incremental Risk Charge and the comprehensive risk measure., in addition to in depth understanding of the derivative pricing models. There is an expectation for the successful candidate to develop some knowledge of credit and operational risk models.

You will have regular communication with the Global Senior Risk Managers to discuss market trends, model enhancements as well as lend independent advice to various committees dealing with model validation and enhancements.

Skills for Model Validation Audit:

• Masters or Ph.D. in Finance, Economics, Mathematics, Mathematical Finance, Physics, Engineering, or a related quantitative field.
• Minimum 8 years’ experience in model development, model review or model validation audit with a financial institution within interest rates, FX pricing models, equities, credit, SPG and commodities, with good understanding of model risk control and measurement.
• In-depth knowledge of mathematical finance, derivatives pricing, and numerical techniques for derivatives valuation (Monte Carlo simulation, partial differential equations, numerical analysis, probability theory, etc.)
• Build credible relationships with senior management in the Risk function.
• Ability to programme pricing models for derivatives is preferable (MATLAB, C++)
• Being able to clearly document findings in work papers to ensure they meet internal standards.

This is an excellent opportunity for an experienced manager to take a Regional Head role with a top tier Global Bank.

Reporting to the Global Head of Equity Audit, the EMEA Head will manage all Front Office and Operational Equities audits with direct responsibility for a team of 7 auditors.

• Identifying, performing and assessing risks for equity products and operations.

• Setting budgets and allocating staff work.

• Reviewing audit and control test findings.

• Developing the audit team, setting objectives, and monitoring the teams performance.

Required experience

• Strong knowledge of trade flow and complex capital market products (derivatives,  options etc),

• Excellent communication and relationship building skills.

• Previous team management and development experience.

The successful candidate will join a tier 1 organisation with a clear structure and strong global presence.  As part of a dedicated Audit function, you will lead the Operations and Change Management team and will have experience within a large bank in either IT or Business Audit. With a proven track record of leading teams, allocating resources and managing budgets, you will maintain high standards of reporting across the function. Through fostering an open team environment you will encourage the sharing of knowledge and expertise between all team members.

Essential

• Considerable experience in a leadership role, maintaining and developing excellent working relationships with team members, stakeholders and senior management.
• Charismatic leadership skills with desire and personality to inspire other team members.
• An expert knowledge of Operations & Change Management audit including documentation standards, risk modelling, change controls, quality frameworks and compliance.

Desirable

• Degree educated with an appropriate audit or accountancy qualification (ACA, ACCA, IIA, CISA).
• Good working knowledge of current business operating models and systems.
• Prior experience managing a global team and resources or considerable experience in project management.