Lead Quantitative Analyst - Model ValidationNew York, United States
- Salary: $180,000.00
- Sector: Quantitative Analytics
- Type: Permanent
Global Investment Bank
New York, NY (Hybrid)
Our client is a leading Investment Bank with a global presence and ever-growing footprint in the United States.
We are working with the firms Model Risk Management group which serves as the organization's second line of defense responsible for overseeing model risk arising from the bank's various divisions and corporate functions. This team is responsible for creating and executing a risk management framework aligned with the principles of SR 11-7, through which the bank's collection of models is rigorously assessed and verified. Moreover, the team is charged with supervising model risk governance, ensuring adherence to guidelines, protocols, and regulatory directives. The bank is in search of a driven individual to take on the role of a Lead Quantitative Analyst - Model Validation within the Model Risk Management Group. This professional will be involved in the validation of capital and risk management models employed by the bank.
- Lead validation initiatives within specific domains of Risk and Capital models.
- Conduct impartial review and validation of a range of models related to capital, risk, margin, and other domains.
- Assess various facets of the models, encompassing model data, parameters, design, methodology, implementation, and documentation.
- Perform model benchmarking using alternative approaches, evaluating model assumptions and constraints.
- Effectively convey validation findings verbally, addressing concerns, challenges, and methodologies with internal stakeholders, including senior leadership.
- Oversee the monitoring of action plans to rectify issues in models.
- Participate in all phases of the model lifecycle, outlining and supporting model validation outcomes during the model approval process.
- Collaborate with model proprietors, developers, and users to ensure models align with the guidelines of the Model Risk Management Policy at the organization.
- Higher-level degree in a quantitative field.
- Broad understanding of stochastic calculus, statistical analysis, and derivatives pricing theory spanning one or multiple asset categories (IR/FX/Credit/Equity), traded instruments, and market/credit risk.
- Over 5 years of experience in the Financial Services sector, focusing on quantitative modeling or roles associated with model risk.
- Proficient oral communication and technical writing capabilities.
- Profound programming and database proficiencies.
- Familiarity with the SR 11-7 directives concerning model risk management.
Please contact Alex Hampton for further information.