Associate, Model Risk Validation


Division

Financial Services

Location

New York, New York

Employment Type

Permanent



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Our client, a prestigious Global Bank located in midtown is seeking a Quantitative Modeler to validate and/or challenge the Front office Quants.   

Job Description:


Compensation : $120000 - $150000
Job ID : 13689

  • Model Validation of MBS/ABS Models
  • Evaluation of Model assumptions, ensure Model implementation and ensure consistency with Theoretical basis.
  • Challenge Front office on Quantitative Trading Models
  • Benchmark Models against alternative models, develop models or components of models in the independent benchmark library recommend and define shortcomings in measurement
  • Identify sensitivities, calibration, opaque parameters and stability of model outputs to quantify potential Model risk.
  • Model performance and regression testing

Job Requirements:


  • 1-3 Yrs experience working in Model validation or a FO quantitative group at a major Financial Institution
  • Preferable experience following"
    • MBS/ABS models (prepayment, OAS valuation)
    • Interest Rate Modelling (short-rate, HJM?BGM)
    • PhD or MS in Physics, Stats, Math, CSI
    • Programming in R/Python/C++

 

Disclosure:  The hourly rates and/or salaries listed may or may not reflect total compensation packages including bonus and fringe benefits, etc., nor are the advertisement(s) posted a guarantee of a certain compensation package for a position or bona fide offer of employment.  All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, or protected veteran status and will not be discriminated against on the basis of disability.

 

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