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Manager, Market Risk Model Validation

Location : New York, NY
Job Type : Direct
Hours : Full Time
Travel : No
Relocation : No

Job Description :

Responsibilities may include, but are not limited to: 

- Contributing to model validation projects, in an analytic capacity

- Understanding business processes associated with model use, and the nature of model use within those processes

- Assessing the methodologies and processes used by modeling teams to develop and manage their models, and identifying potential weaknesses and the associated materiality of the risk

- Documenting validation processes and results

- Communicating validation work to management, model owners, regulators, and auditors

- Developing project plans, setting and managing expectations, and delivering results through self and/or others

- Benchmarking model methodologies and performance by developing alternative models;

- Analyzing complex data to identify data integrity issues

- Researching industry practices related to model methodologies

- Assisting with building the validation group, through contributions to hiring, training, and developing infrastructure such as processes and templates

Basic Qualifications:
- Master’s Degree 
- At least 3 years of experience as a market risk modeler or validator
- At least 2 years of experience with Python, SQL, C++ or C#, R or Matlab

Preferred Qualifications: 
- Doctorate in Statistics, Economics, Mathematics, Industrial Engineering or Operations Research
- 5+ years in interest rate derivative modeling or commodity derivative modeling or equity derivative modeling
- Understanding of financial asset valuation principles (vanilla and exotic derivatives) as well as market risk analytics
- Strong communication skills



Required Qualifications :
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