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Duties: As a member of Model Governance Group (MGG), focus on market risk models. Engage in new model validation activities for subset of models in coverage area. Evaluate conceptual soundness of model specification, reasonableness of assumptions and reliability of inputs, completeness of testing performed to support correctness of implementation, robustness of numerical aspects, and suitability and comprehensiveness of performance metrics associated with model use. Assist with reviews conducted by Model Review Group (MRG). Perform additional model review activities ranging from proposed enhancements to existing models and extensions to scope of existing models. Liaise with model developers and Market Risk Coverage and Regulatory Capital Management Office professionals to provide oversight and guidance on appropriate usage and controls around model restrictions, limitations, and findings for ongoing performance assessment and testing. Maintain model risk control apparatus of bank for coverage area and serve as first point of contact. Keep up to date on latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards.
Minimum education required: Master’s degree or equivalent in Quantitative Finance, or related field.
Minimum experience required: 1 year of quantitative modeling experience, or related experience.
Minimum skills required: Demonstrated knowledge of financial theory. Demonstrated knowledge of risk and valuation models. Demonstrated knowledge of pricing financial instruments. Demonstrated knowledge of applied statistics and statistical techniques. Demonstrated knowledge of trading and hedging strategies. Experience with programming in Java/SQL. Employer will accept any amount of professional experience with the required skills.
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