Director, Quantitative Risk Management

A leading financial institution seeks a Director of Quantitative Risk Management to drive advanced model development for margin, clearing fund, and stress testing. You’ll lead research, prototyping, and system integration while partnering with risk, IT, validation, and compliance teams. The role values quantitative expertise, offers flexible work, and supports professional growth.

Key Responsibilities:
As Director of Quantitative Risk Management, you’ll lead end‑to‑end model development for margin, derivatives pricing, and stress testing while ensuring alignment with regulatory expectations. You’ll partner across teams to deliver robust analytics and foster a culture of learning and clear communication.

• Lead development and oversight of models for pricing, margin risk, and stress testing.
• Integrate new financial products into risk frameworks through rigorous analysis.
• Research and prototype alternative modelling approaches using industry and academic insights.
• Produce clear technical documentation and establish strong model‑monitoring standards.
• Partner across teams to deploy analytics, support production issues, and address validation or regulatory findings.

Key Requirements:
You bring 10+ years in quantitative research or model development, supported by an advanced degree in a technical field and at least five years of team leadership. You combine deep expertise in derivatives modelling, econometrics, and machine learning with strong Python skills and the ability to integrate prototypes into production systems. Clear communication, regulatory awareness, and a commitment to mentoring and rigorous model governance round out your profile.

• Expertise in financial mathematics, derivatives modelling, stochastic calculus, statistics, and advanced linear algebra applied to real‑world markets.
• Proficiency in econometrics, time‑series methods, GARCH, copulas, fat‑tailed modelling, and finance‑focused machine learning.
• Advanced numerical skills including Monte Carlo simulation and finite‑difference techniques, plus strong knowledge of VaR, expected shortfall, stress testing, and scenario analysis.
• Exceptional programming ability in Python and experience with Java/C++/R/MATLAB, SQL, scientific computing tools, automated testing, CI/CD, and distributed or cloud environments.
• Strong analytical judgment, documentation skills, and the ability to challenge model assumptions while communicating clearly with both technical and non‑technical stakeholders.

What sets this company apart:

• This organization stands out as a pillar within the financial services sector due to its unwavering dedication to operational excellence coupled with a genuine commitment towards employee well-being.

What's Next:
If interested, please contact Michael Kelly at Michael.Kelly@robertwalters.com