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We are looking for model risk manager and validator for validating Risk models, which includes Credit Risk, Structured Risk, Operational Risk, Liquidity Risk, Insurance and Pension models for assessing the adequacy of risk capital and estimated losses for regulatory or business requirements.
Our rigorous validations include the technical assessment of adequacy of the modeling data and assumptions, conceptual soundness and mathematical formulation, and model performance, as well as the assessment of using the model for regulatory and business applications. Responsibilities of this position include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk.
Minimum of Master’s degree in a quantitative field (physics, mathematics, statistics, finance, economics, computer science, etc.) with 3+ years of relevant experience
Fewer years of relevant experience will be considered for candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, CPA or CFA
Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
Strong communication skills both verbal and written.
Knowledge of financial products, pricing methodologies, risk management, Basel/CCAR regulatory requirements.
Ability to work independently as well as collaborate with colleagues.
Solid writing skills. Publications in peer-reviewed journals are considered as good evidence.
Programming skills: C/C++, SAS, R, Python, Matlab, Java, Oracle and SQL.
Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable;
Team work and commitment a must.
Anticipated Posting Close Date:
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