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Senior Quantitative Analyst

  • Job type: Permanent
  • Location: Washington, District of Columbia
  • Salary: US$100000 - US$140000 per annum
  • Job reference: 350961/002_1568068359
  • Sector: Selby Jennings, Quantitative Finance
  • Date posted: 09/09/2019

My client, a top bank is seeking a highly technical and quantitative risk professional to assume ownership of credit loss models across the bank. The qualified individual will assume responsibility for the continued enhancement of the bank's Model Risk Management program through an effective challenge, review, and oversight. The ideal candidate will be a season quantitative risk professional with hands-on modeling experience in either a development of validation capacity, combined with advanced working experience with languages like R, Matlab, Python, C++,SAS, and/or SQL.

Responsibilities:

  • Assume ownership of credit loss models across the bank
  • Lead reviews of conceptual soundness, assumptions, theory, estimations, and limitations of the model being validated
  • Act as an advisory figure for business lines, relaying validation findings and helping to achieve strategic organizational goals.
  • Take ownership of the identification and quantification of model risk for the relative model being validated
  • Perform ad-hoc Model Risk Management activities as necessary
  • Create publications and technical documents for the model being reviewed/validated
  • Partner with key stakeholder and develop key relationships with working groups such as model owners, users, and business leaders to ensure effective coverage for the MRM program.

Requirements:

  • Masters or Ph.D. in Quantitative Discipline
  • Prior experience with Model Validation or Development
  • Advanced understanding of languages such a C++, Matlab, R, Python, SAS and/or SQL
  • Experience with Machine Learning Algorithms is a plus
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