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

更新日期: 2015-09-29 21:47:42
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