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Quantitative risk model validation
Work to be performed:•Communicate with Quantitative Risk Management and other departments about issues and concerns•Provide expert knowledge on recommendations throughout validation processes, provide leadership as needed•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 production models•Assess the models by ensuring that the data used is valid•Document testing activities•Document validation activities•Create logical and innovative solutions to complex problems•Complete all validation assessments to meet strict business timelines•Other duties as assigned Education and/or Experience: 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 discipline.