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Model Risk - Manager

  • Location

    new york, United States

  • Sector:

    Risk Management

  • Job type:

    Permanent

  • Salary:

    $130,000 - $160,000 + bonus

  • Contact:

    Corey Rague

  • Job ref:

    48673

  • Published:

    28 days ago

  • Expiry date:

    2020-10-14

  • Consultant:

    Corey Rague

JCW is currently working on a search for a Model Risk Manager with a leading professional services organization for their Chicago or NYC locations. Managers are responsible for leading and executing client engagements and maintaining a strong relationship with senior client personnel. Managers must have a solid understanding of their client’s business and be able to demonstrate technical competence around several modeling areas.

Responsibilities include:

  • Ability to review, validate, or develop models related to one or more of the following: market, credit, operational, ALM, liquidity risk capital, ERM, insurance models, stress testing, FRTB, CECL, anti-money laundering, Basel II/III and Solvency 2 compliance
  • Assessing business strategies and related risk/control infrastructures
  • Evaluating, developing, or implementing credit and market risk measurement tools
  • Reviewing or developing derivative and capital market instrument pricing
  • Assessing conduct risk models including, anti-money laundering, fair lending, and fraud.
  • Thorough knowledge in one or more of the following areas: derivatives pricing & hedging, interest rate modeling, Value-at-Risk/Expected Shortfall, asset/liability management, and credit modeling
  • Prior management and direct supervisory experience in a team environment

Position requirements:

  • Graduate degree in Finance, Economics, Financial Engineering, Mathematics, Statistics, Decision Science, Applied Math or equivalent
    • PhD preferred
  • Strong programming experience (R, Python, MATLAB, SAS, SQL, C/C++, etc.)
  • Demonstrated skills using high level computations and mathematic skills inclusive of finite difference, optimization, Monte Carol methods
  • Advance knowledge of Stochastic Calculus/Brownian Motion and PDE Modeling

Corey Rague recruits for Risk and Analytics professionals across the financial services sector and would be happy to provide further details about this or other positions. You can reach him at (646) 517-8533 or at corey.rague@jcwresourcing.com