Associate, Model Risk Validation
New York, New York
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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.
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
- 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++