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Quantitative Model Implementation And Validation AVP/VP

  • Job type: Permanent
  • Location: New York
  • Salary: US$135000 - US$175000 per year
  • Job reference: 286713/006_1541459760
  • Sector: Selby Jennings, Risk Management
  • Date posted: 05/11/2018

Quantitative Model Validation Analyst

An established global Investment Bank is searching for a bright and motivated Quantitative Model Validation Analyst to join their Market Risk Department on the Model Validation Team. The firm is seeking a strong candidate who will be responsible for performing the duties of completing model validations on models traded within the company and perform reviews, quantify results and explain findings. The Quantitative Model Validation Analyst will be primarily tasked with completing model validations, assessing strength and constructing reports on their findings. Thus, this position is highly quantitative and requires prior knowledge on quantitative tools and techniques. This position is highly collaborative with other Model Validation Teams throughout the company globally. This diverse firm is seeking a cogent candidate who is determined to contribute to ensuring company success.

Responsibilities:

  • Independently complete model validations on relevant models traded throughout the company.

  • Independently conduct conceptual and theoretical review, benchmarking and independently exercise the models employed.

  • Quantify the model risk and accurately explain the findings.

  • Collaborate and communicate effectively with the model developers on the First Line-of-Defense.

  • Efficiently work with front office, model developers and risk managers on daily tasks of model review.

  • Construct an environment with knowledge of regulatory requirements both local and globally for model risk with careful awareness.

  • Conduct quantitative analysis and create a detailed report on complex findings. Conduct quantitative and qualitative tests on every aspect of each model including data quality, implementation, integrity and theoretical aspects. Analyze data from the quantitative analysis. Make credible suggestions based on findings from the data analytics.

  • Utilize quantitative techniques and tools to analyze and measure model risks and formally conclude on strengths and limitations of the model.

  • Create detailed documents on the analysis for both validation and regulatory compliance.

  • Utilize prior knowledge on responsibilities, roles and techniques in providing business or technical suggestions to internal and external clients, apply knowledge to all situations.

Qualifications:

  • Bachelors Degree in a quantitative area in Science, Technology, Engineering or Mathematics (at minimum).

  • 3+ years of experience with Financial Model Development or Validation or Front Office Quant role.

  • Work experience in building or working with financial modeling in risk management or front office.

  • Outstanding mathematical and statistical ability to solve quantitative financial problems.

  • Sophisticated coding skills in a computer or statistical programming language (Python, R, C++).

  • Professional communication skills with the ability to work with front office, model developers and other internal risk management staff.

  • Able to independently conduct thorough quantitative analyses and model development to drive decisions by performing independent quantitative test strategies. Make credible suggestions based on findings.

  • Analyze and create new model frameworks. Carefully watch, refine and evaluate existing models. Constantly communicate with model owners and developers throughout the review. Utilize larger, more complex datasets to create advances models.

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