Model Risk [Multiple Positions Available]

Job Summary

The successful candidate will be responsible for validating risk models used in connection with regulatory capital measurement and market risk management. This role involves identifying, communicating, and managing model risk associated with the use of these models across all asset classes, including Equities, FX, Credit, Rates, and Commodities.

Key Responsibilities

• Evaluate the conceptual soundness of model specifications, the reasonableness of assumptions, and the reliability of inputs.
• Assess the completeness of testing performed to support the correctness of model implementation and the robustness of numerical aspects.
• Review the suitability and comprehensiveness of performance metrics and risk measures associated with model usage.
• Design and implement experiments to measure the potential impact of model limitations, parameter estimation error, or deviations from model assumptions.
• Compare model outputs against empirical evidence or benchmarks.
• Assess how evolving market conditions may lead to model performance degradation and manage associated risk.
• Document and clearly explain review findings to model developers and risk management teams.
• Ensure that all model risks are correctly identified, documented, and communicated to relevant stakeholders.

Required Qualifications and Skills

Education and Experience

• Master's degree in Applied Mathematics, Economics, Physics, Statistics, Engineering, or a related field of study.
• Minimum of 1 year of experience in the offered role or as a Model Risk Associate, Model Risk Auditor, Quantitative Analyst, or a related occupation.

Technical Skills

• Experience with mathematical skills related to models used in valuation and market risk management within international financial institutions.
• Proficiency in analyzing and manipulating diverse datasets for application in valuation and risk management models.
• Experience modeling Value-At-Risk (VaR), regulatory and economic capital calculations, and market risk management/stress testing models (including CCAR and ICAAP across various regulatory regimes).
• Familiarity with derivatives pricing theory and financial products in Interest Rates, Equities, Commodities, Foreign Exchange, and Structured Products.
• Quantitative finance modeling proficiency in Python, utilizing libraries such as pandas, numpy, and scipy.
• Demonstrated ability to write technical documentation and prepare professional presentations for senior management.

Job Details

Location: 237 Park Ave, New York, NY 10017.

Employment Type: Full-Time.

Salary Range: $160,000.00 - $215,000.00 per year.