Reference #: W5492
Support the model review of cleared products within a financial services regulatory environment
- Review of technical papers on capital, margin and pricing models
- Identify model limitations and evaluate the materiality.
- Assist Senior team members 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.
- Experience in model development, model validation, quantitative analysis, and/or risk management 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 Capital Requirement / Dodd-Frank regulations a plus
- Advanced degree in economics, finance, mathematics, statistics or related field