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| Location: |
New York City, NY |
| Recruiter: |
Comprehensive Recruiting |
| Salary: |
Outstanding compensation and benefits package |
| Post Date: |
2010-01-30 |
| Contact Email: |
jason@comprehensiverecruiting.com |
| Apply Url: |
http://www.eFinancialCareers.com/jobApplyLoginOrRegister.htm/jobRef-4000000000597545 |
| Source: |
efinancialcareers |
| Description: |
Global financial firm is looking for strong quants to join their model validation team.Our client is looking for talented Model Review and Model Validation Quants to assist and participate in validating risk management models. In this role the Model Validation Team will validate models: Economic Capital Models, Market Risk (QRM Model and Algorithmic models); Credit Risk methodologies (KMV, CreditMetrics, etc.); Interest Rate modeling (short rate models, HJM, BGM, etc.),; VAR, and/or other complex financial risk modeling highly desirable and other models used within the Organization, (ie. Fixed Income, Global Treasury) to ensure the Model Risk does not exist.* The candidate will provide leadership and assistance within the Model Validation Team.* Assist on the assessment of model validation needs and manage the process to achieve desired goals and objectives of the Department. * Assist and provide leadership in assessing the model theory and assessing the model assumptions as well as consider model methods and potential options. * ensure the Model Validation Team has tested the model and will confirm the model results. * ensure the models have proper documentation regarding the procedures for running the model(s). * oversee the review code documentation for proper model implementation, including the possible simulation of results. * work with data validation members and information technology professionals to determine model data integrity. Requirements:* PhD or Advanced degree in Finance, Economics or Math. * In-depth understanding of methodologies in the following areas: Asset Pricing, Market Risk (QRM Model and Algorithmic); credit risk methodologies (KMV, CreditMetrics, etc.), interest rate modeling [short rate models, HJM, BGM, etc.], equity, derivative, cash flow CDO valuation, capital models, hedging, VAR, and/or other complex financial risk modeling highly desirable. * Excellent quantitative modeling, analytical, research and programming skills (C++, SAS, Matlab). * Minimum of 2-7 years of related experience in relevant applied modeling techniques. A senior lead role is avail which requires a minimum of 7-10 years experience with a PhD.* Formal modeling experience, a plus. * Strong communication skills. * Good project management skills, with the ability to work independently on multiple tasks and/or projects. * Knowledge of financial markets and products. * Detail oriented. For immediate consideration please refer to Job#JCK882 and submit resume in Word format to: jason@comprehensiverecruiting.com |
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