Equities Model Risk Manager - Quantitative Analyst, AVP - London, United Kingdom,

British Pound . GBP -

Job Description:
Bank of America Merrill Lynch is seeking to employ a Model Risk Manager to work on the validation, risk management and control of models used and developed by Equities model developers. The successful candidate will be responsible for the validation of the relevant models, and work closely with the front office model developers and other support partners, in particular market risk, GVG and middle office.

Role Description:
  • Reviewing and testing models primarily used by the Equities line of business.
  • Identify and assess the appropriateness of the models' key underlying assumptions and limitations. Review the underlying model theory, derivation and implementation.
  • Independent re-implementation of front office models for benchmarking and validation.
  • Documentation of validation activities.
  • Model risk management of existing models in terms of on-going monitoring, stress testing and annual model reviews
  • Liaising with front office model developers and other control functions to ensure proper governance of the model inventory.

Knowledge / Experience:
  • PhD or Master (or foreign equivalent) in Computational Finance, Mathematics, Statistics, Physics or related degree
  • Strong finance or risk background with excellent quantitative skills and expert knowledge of stochastic calculus.
  • Excellent communication skills (written and verbal) and interpersonal skills.
  • Well organized and detail-oriented
  • Experience of developing and testing models in either C++ or Python.

Location: London
Salary: Competitive
Title: Assistant Vice President
Closing Date: 30 July 2018