Your new company
An established global Investment Bank with presence in New York, NY.
Your new role
You will be working with the Model Risk Management and Control (MRMC) focused on validating US Market and Counterparty credit risk models covering trading portfolios. Perform model validations and performance reviews for market risk model for RWA used for CCAR. Specifically:
What you'll need to succeed
- Work independently and validate advanced risk models including counterparty credit and market risk models
- Review and challenge models used in counterparty credit and market risk management
- Assess the conceptual soundness and appropriateness of different models and perform related outcome, impact and benchmark analyses
- Run analyses on implementations to assess their correctness and stability
- Carry out and document independent model validation in line with regulatory requirements and internal standards
- Potentially develop challenger risk models, validate and review on-going model performance
- Interact and discuss with model users, developers, senior owners and governance bodies
- Support US regulatory exercises such as CCAR and ICAAP
What you'll get in return
- Master or PhD degree in a quantitative discipline (e.g. Statistics, Mathematics, Physics, Engineering)
- A strong theoretical grounding in advanced probability, statistics, time series analysis and related concepts.
- Strong working experience in quantitative financial methodologies (derivatives theory and models, probability theory, Mathematics, etc.) is required.
- Strong communication skills and the ability to explain technical topics clearly and intuitively
- Solid technical skills are required, such as model implementation in C++, Matlab, VBA, R, Python or other programming languages.
- Additional expertise and experience in risk modeling such as Market risk VaR methodology and regulatory capital calculation are highly preferred.
- Familiarity with Basel Regulations and/or CCAR is a plus
You will get the chance to work for a very well respected global brand as well as start a contract position with a chance of extension.What you need to do now
If you're interested in this role, click 'apply now' to forward an up-to-date copy of your CV, or call us now.
If this job isn't quite right for you but you are looking for a new position, please contact us for a confidential discussion on your career. #1111456
This job has expired.