Reference #: W5344
Support the model review of cleared products within a financial services regulatory environment.
- Perform validation on conceptual model assessment and implementation, input data validation, back testing and benchmark testing.
- Review of technical papers on capital, margin and pricing models.
- Identify model limitations and evaluate the materiality.
- Assist the team in providing guidance regarding improvements in model design, implementation, output reporting, documentation and governance.
- Evaluate model changes upon notification, perform testing on the changes, update the documentation and reconfirm model approval.
- Assist in the ongoing monitoring of approved capital and margin models as a technical expert and provide ongoing assistance to the risk management team with due diligence inquiries involving collateral disputes.
- 2+ years’ quantitative, model validation, risk management experience within financial services or commodity or energy firm or regulatory agency
- Detailed knowledge of OTC derivatives and underlying markets, pricing models, sensitivities and valuation methods
- Excellent communication skills.
- Familiarity with Dodd-Frank regulations
- Advanced degree in economics, finance, mathematics, statistics or related field