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Vice President - Model Validation
Finance & Investment Industry Company
New York, NY, United States
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Description
Company Profile
Company is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. The Firm's employees serve clients worldwide including corporations, governments and individuals from more than 1,200 offices in 43 countries.
As a market leader, the talent and passion of our people is critical to our success. Together, we share a common set of values rooted in integrity, excellence and strong team ethic. Company can provide a superior foundation for building a professional career - a place for people to learn, to achieve and grow. A philosophy that balances personal lifestyles, perspectives and needs is an important part of our culture.
Department Profile
The cornerstone of Company’s risk management philosophy is the execution of risk-adjusted returns through prudent risk-taking that protects Company’s capital base and franchise. Risk Management protects the firm from exposure to losses resulting from market volatilities and defaults by our lending and trading counterparties.
Background on the Position
Company is seeking a strong quantitative candidate to join its Model Validation group within Model Risk Management (MRM). The Model Risk Management (MRM) plays a pivotal role in the development and maintenance of an effective model risk management framework across the firm which has received heightened focus from senior management and our regulators. Currently, the Model Validation group has an opening for a highly motivated individual to review and validate cutting edge derivatives pricing models used by both front office and capital planning. This individual will also work on model validation related to CCAR/DFAST and other regulatory compliance related models. This individual will work closely with the various groups within the firm, including but not limited to model owners in front office, risk managers, etc.
Primary Responsibilities
-Provide independent review and validation of equity derivatives pricing models. This requires extensive knowledge of stochastic calculus and risk neutral pricing theory. Broad product experience in derivatives area is important. Good understanding of various numerical techniques commonly used for pricing model implementation is also important.
-Provide independent review and validation sign off of CCAR/DFAST and other regulatory compliance related models.
-Closely work with other teams within the firm to provide regular ongoing model performance assessments. Review analysis results with senior management and provide recommendations.
-Write high-quality model review documentation that satisfies the firm’s internal model approval functions, audit requirements, and the Firm’s regulators (e.g., FRB, OCC, and PRA).
Qualifications
Skills required (essential)
-Advanced degree (PhD or MS) in a quantitative discipline (e.g., finance, physics, math, engineering)
-Extensive knowledge of stochastic calculus and risk neutral pricing theory
-Programming skills in a high-level language such as Matlab, R or SAS
-Familiarity with SQL and VBA
-Team player with strong interpersonal and communication skills
Skills desired
-PhD degree in a quantitative discipline
-Previous experience in derivatives pricing and common numerical implementation techniques (e.g., Partial Differential Equation and Monte Carlo simulation)
-Statistical skills especially in the area of regression and discriminant analysis