Job #: 2506
Title: Model Valuation Analyst
Specifically, the position is in the Model Validation Team, and requires the successful candidate to quantitatively evaluate VaR methodologies, Counterparty risk models and forecasting frameworks coving all of the firm’s products.
The Model Validation Team assesses and helps mitigate the risk of derivate models used in the context of valuation, risk measurement, capital adequacy requirements and, more broadly, internal decision-making. The derivative instruments in question cover all asset classes and make extensive use of models subject to validation.
The initial focus of this position is on VaR and CCR modeling for securitized products, FI, FX, equity and credit products, and consists of the following core responsibilities:
Analyzing the conceptual soundness of risk models and engines
Assessing model behavior and its suitability to particular products/structures
Assessing appropriateness of the model’s output risk sensitivities
Quantifying materiality of suggested model improvements
Liaising with front office quants, traders, risk and finance professionals and provide guidance on model risk
Cogently reviewing analysis findings resulting in model approval or disapproval
Experience in preparing SIMM regulatory exam is a plus. In particular,
In-depth knowledge and understanding of the SIMM methodology, as well as the SIMM testing
Knowledge of SIMM sensitivity generation for Fixed Income and Equity products
Comprehensive understanding of regulatory landscape and requirements of SIMM in the US and EU
The candidate is expected to be aggressively self-driven, have an expert understanding of risk analysis in at least some of the areas mentioned above, a demonstrable ability for derivative modeling and a thorough understanding of all aspects of a VaR computation framework and Counterparty risk modeling. A Ph.D. in a hard science is required along with 10 years of experience in banking-related industry.