Risk Model Validation Analyst

Overview

The Risk Management & Financial Engineering team provides services to clients across various topics including but not limited to:

• Regulatory & Compliance
• Financial Risk Management (including predictive analytics and optimization)
• Model Risk Management
• Data, Technology, and Analytics

In this role, you will:

• Develop credit and operational risk models
• Lead model development efforts from design to implementation
• Validate and/or review complex models or financial structures (e.g.: LDA, CLO, ABS, liquidity, derivatives, cash flow projections, portfolio optimization, etc.)
• Recommend process improvements for enterprise model development
• Analyze data requirements and recommend data strategies
• Develop corporate cash flow models
• Work on special projects

The ideal candidate:

• Is analytical and structured
• Has the ability to work creatively and analytically in a problem-solving environment
• Possesses excellent communication skills
• Highly professional and rigorous
• Is results oriented and an open team player

Requirements

• An advanced degree in a quantitative field from a top university, Masters or PhD in Financial Engineering, Statistics, Economy, or Physics preferred
• At least 6+ years of experience in financial modeling, of which:
  • At least 2+ years of experience working with operational risk modeling
  • At least 2+ years of experience working with credit risk modeling
• Proficiency with VBA, Python, R, MatLab, C++, or SAS
• Extensive experience with PD, LGD models
• Extensive experience with Loss Distribution Approach
• Extensive experience with Copulas
• Extensive experience with Optimization techniques
• Strong understanding of financial products and applicable modeling skills

Job Order ID: 1394