• Share this Job

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


 


#LI-KH1


Required Qualifications :
 
Powered by AkkenCloud