Director Model Validation Director Model Validation …

Selby Jennings QRF
in Washington D.C., DC, United States
Permanent, Full time
Last application, 01 Jun 20
Negotiable
Selby Jennings QRF
in Washington D.C., DC, United States
Permanent, Full time
Last application, 01 Jun 20
Negotiable
Selby Jennings QRF
Expanding capital markets group is seeking a Director to lead a model validation team responsible for the second line of defense. The team will perform technical model review of market risk (VaR), mortgage, and derivative valuation models. The Director will be responsible for managing a small team hands-on while working together with senior management & stakeholders.

Expanding capital markets group is seeking a Director to lead a model validation team responsible for the second line of defense. The team will perform technical model review of market risk (VaR), mortgage, and derivative valuation models. The Director will be responsible for managing a small team hands-on while working together with senior management & stakeholders.

Responsibilities

  • Lead a team for capital markets model validation
  • Perform hands-on technical model review of market risk, mortgage, and derivative valuation models
  • Challenge the first line of defense when appropriate, develop benchmark challenge models as needed
  • Perform model documentation and report findings to senior management

Requirements

  • PhD or Graduate degree in STEM related designation (Math, Physics, Engineering, Stats, Econ, etc.)
  • Experience in a model risk, specifically model validation or model development of market risk models, mortgage models, or derivative valuation models
  • Programming knowledge in Python, R, C/C++ is helpful
  • Good written and communication skills, demonstrated ability to mentor and lead successfully
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