If you’re looking for a job at the cutting edge of quantitative risk management, you might want to look to UBS. The Swiss bank is creating a new team to validate and control its algorithmic trading models, and it’s looking for someone to lead it.
UBS is advertising for a head for a new team of model risk managers focused on algorithmic and electronic trading. The successful candidate will be expected to hire in a team of people focused on the validation of its algorithmic and electronic trading models, and to oversee the algo trading “model inventory.”
Banks already have model validation teams, but they’re not seen as particularly desirable places to work. Tasked with checking that derivative pricing and risk management models adhere to regulatory requirements, model validation is often seen as a career cul de sac. Jobs in the area are increasingly being off-shored to low cost centres in Eastern Europe.
UBS’s new team is exciting, both because it’s based in London and because it’s a break from the model validation norm. It marks an opportunity to become embedded in the process of developing the trading algorithms (and ultimately, possibly, the machine learning trading algorithms) which are the future. The latest role comes after UBS also advertised for a head of artificial intelligence in its equities business.
UBS says the head of its algo validation team needs a Master’s or PhD degree in statistics, financial mathematics, mathematics or physics. It also wants someone who has “extensive previous experience in relevant algo/e-trading models” – either as a trader or from a model validation perspective.
James Kennedy, director of the quantitative trading team at NJF Search, says UBS will find experienced algo model validators from other banks within model review departments, as well as high frequency algorithmic trading firms. This new class of model validator will likely be paid competitively with model validators working on derivatives pricing models, says Kennedy, who predicts more of this hiring in future as banks must adhere to Basel III and TRIM (targeted review of internal models) which was launched in late 2015 and is expected to be finalized in 2019.. “Banks need to validate all of their models and algorithmic trading strategies in order to comply with regulators,” he says. “These people are going to have to be paid decently – although they won’t get paid as much as the people that design the trading algorithms.”
Photo credit: ubs by Martin Abegglen is licensed under CC BY 2.0.