Quantitative Market Risk Specialist

  • Competitive Base & Bonus USD
  • New York, NY, USA New York NY US
  • Permanent, Full time
  • Ashton Lane Group
  • 17 Sep 18 2018-09-17

Subject Matter Expert supporting quantitative risk and model validation within the financial services industry

Responsibilities:

  • Provide subject matter expertise on various issues related to Quantitative Risk Management.
  • Evaluate proposed models related to capital, margin, risk, and pricing models
  • Review technical papers and outline model risk framework including assessment of model's conceptual soundness, assumptions, limitations, and implementation as well as ongoing governance.
  • Perform validation of models, taking into consideration input data quality, model performance testing, output reporting in accordance with best model risk management practices.
  • Cooperate with a third party service providers to assess compliance with regulatory requirements and adherence to industry best practices for the implementation and use of risk models, governance and risk management frameworks, based on industry standards and the riskiness and complexity of the firm's business activities.
  • Update documentation and reconfirm model approval.

Requirements:

  • 5+ years’ experience within an independent pricing, risk management, or model governance team within financial services
  • Detailed knowledge of OTC derivatives and underlying markets, pricing models, sensitivities and valuation methods
  • Knowledge of the statistical tools and techniques used in risk management;
  • Excellent communication skills.
  • Familiarity with Dodd-Frank regulations
  • Proficiency in any programming or scripting language (Matlab, Python, etc.);
  • Masters in Financial Engineering, Mathematics, or hard sciences preferred  

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

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