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- 6+ years of related experience as a goal of those to include.
- 2 or more years software development experience in C, Java, C#, solid object-oriented programming skills, MS SQL Server database, or similar current modern technology
- Some work or experience in Matlab or R/Splus desirable
- Advanced degree in mathematical finance, econometrics, mathematics, physics, chemistry or similar discipline or science with quantitative focus
- Quantitative finance at the level of “Measuring Market Risk” by Kevin Dowd, or similar
- Review and validate quantitative risk model documentation
- Verify accuracy and reliability of the software implementation of the model
- Develop and implement complex independent tests to validate the model implementation
- Develop and implement independent models to benchmark company production models
- Assess the models by ensuring that the data used is valid
- Document testing activities
- Document validation activities
- Communicate with Quantitative Risk Management and other departments about issues and concerns
- Provide expert knowledge on recommendations throughout validation processes
- Create logical and innovative solutions to complex problems
- Complete all validation assessments to meet strict business timelines