Global Model Validation Group – Risk Management Department (NY)
Role description and major tasks
· Associate / VP level position in Global Model Validation Group with major responsibility for validating MBS/ABS models
· Evaluation of the model’s assumptions and review of its implementation to ensure it is consistent with its theoretical basis and that it is working correctly
· Benchmark the model against alternative models, including developing models or component of the models in the independent benchmark library. Investigate and evaluate the reasonableness of any differences, recommend/define any measurement to account for any shortcomings
· Identify, analyze and quantify any potential model risk, including sensitivity to model assumptions, model calibration, opaque parameters, stability of the model outputs, etc.
· Write up a comprehensive documentation.
· Running of the required processes such as periodic model review, restrictions monitoring, regression testing, etc.
Key objectives critical to success:
The candidate is expected to subject the model to effective and objective challenge. Outcomes/conclusions of this process must be communicated / discussed with the relevant stakeholders and Senior Management, and any remedial actions should be agreed upon and applied.
Skills, experience, qualifications and knowledge required
· 2 to 5 years of experience in MBS/ABS models (prepayment modeling, OAS valuation / analysis, credit / default modeling) from working in a Model validation or a FO Quantitative group at a major financial institution
· Good knowledge of IR modeling (short-rate models, HJM/BGM)
· Familiarity with Risk models (VaR, Counterparty Exposure, etc.) is strongly preferable (but not a requirement)
· Strong academic background in Mathematics, Physics, computing science or similar education, PhD/Postgraduate degree
· Strong implementation skills ( ideally in C++)
· Team player with strong communication skills, verbal as well as written
Please contact tgan@optionsgroup.com
848-229-1688
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