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Model Development - Associate/Vice President

  • Job type: Permanent
  • Location: New York
  • Salary: $130000 - $185000 per annum, Benefits: Bonus+Benefits
  • Job reference: mklc1227172
  • Sector: Banking and Finance, Selby Jennings
  • Date posted: 27/12/2017
Tier 1 American investment bank is expanding it's Market Risk Model Development team in NY. This is a growth hire and the team is seeking a driven and motivated highly quantitative individual to join its best-in-class model development group. 

The successful candidate will work on the validation of models in the Global Markets area, including models for market risk. The team has headcount open for one individual and will consider strong associate level candidates even though they would prefer a VP. 

Responsibilities
  • Model development and testing, primarily supporting risk neutral and market risk based models
  • Develop risk models for VaR, IRC/CRM, stress testing, etc.
  • Review the underlying theory, assumptions, limitations, implementation and testing of the models
  • Identify and quantify associated model risk
  • Analyze results of ongoing monitoring of model performance
  • Prepare model validation reports and technical documents
Required Skills
  • Master (PhD preferred) in a quantitative field such as mathematics, physics, statistics or operations research
  • 3+ years of experience in a quantitative finance role
  • Strong intuition for financial markets and risks
  • Strong mathematical and modeling skills
  • Strong programming skills (C++ or Python a plus)
  • Excellent communication skills (written and verbal)
  • Strong aptitude for independent critical thinking
  • Effective team player
  • Very hands-on and detail-oriented, “can-do” attitude
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