A leading financial institution is actively building out their model risk function, and is looking to bring on a highly-skilled, experienced professional to join their Model Risk Management team! This senior quantitative analyst will be supporting the Director of the team, working closely with model owners, performing review of metrics, plans and backtesting methodologies for the firm.
What You Will Be Doing:
- Reviewing model performance metrics and plans
- Reviewing and reporting on backtesting methodologies
- Presenting all performance review and oversight findings and solutions to senior level executives and councils
- Assessing future risk and new risks, using advanced analytics
- Applying expert knowledge and industry best practices to quantify risk exposures
- Providing ad hoc analysis to identify model limitations and performance issues
What We Need From You:
- At least a masters degree in a quantitative discipline (a PhD for less years of experience)
- Must have 5-7 years of experience in a relevant field, working in either model validation or model development, or model governance
- High-level understanding of SAS, R, or Python
- Expertise in quantitative finance, working with curve building methodologies, term structure models, option models, or credit models and knowledge of risk management models and methodologies (VaR, Greeks, stress testing)
- Strong verbal, writing and presentation skills
- High-level understanding of Federal Regulations