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VP-Quantitative Model Validation

  • Location

    New York, United States

  • Sector:

    Risk Management

  • Job type:

    Permanent

  • Contact:

    Margarita Romero

  • Job ref:

    44455

  • Published:

    6 months ago

  • Expiry date:

    2020-06-11

  • Consultant:

    Margarita Romero

JCW is currently working on a search for a Quantitative Model Validation Analyst with an international banking organization. This position reports to the Head of Market Risk Validation.

Responsibilities include:

Perform the model validation as per the validation guidelines and the regulation requirements. Effectively and independently challenge the decisions made during development, follow-up and use of internal models implemented for market activities focusing in particular on:

  • model compliance with Group standards and banking regulations,
  • quality of model documentation, associated risks, scope, uses and impact assessment,
  • justification of assumptions and methodological choices, stability and robustness of estimation methods or parameters calibration, the data quality used for modeling,
  • implementation tests results in the systems, the comparison, where possible, with best practices

Qualifications:

  • Master of Science (MsC) applied to finance/engineer or related field
  • 6-8 years of experience on modelling or model validation for market operations
  • Programming skills (Matlab, C++, VBA, Data bases, SQL queries) and knowledge of CACIB tools (GVR, CADRE, GCE, CCC, MASAI, Orchestrade, Murex, Sophis…)
  • Good communication skills oral and written with capacity to adapt the message to the interlocutor level (modeling expert, users, managers, and auditors)
  • Knowledge of banking regulations and standards on model validation and model risk management
  • Rigor, reliability, capacity to synthesize, and pedagogy

Margarita 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) 564 -3594  or at margarita.romero@jcwresourcing.com