-Conduct model validation for XVA models by challenging model assumptions, mathematical formulation, and implementation
-Conduct independent testing to assess model accuracy and robustness under different scenarios and market conditions
-Assess and quantify model risks due to model limitations and develop compensating controls
-Highlight risks and limitations of models and communicate findings to stakeholders, senior management, and governance committees
-Collaborate with Global MRM teams, Model Control Officers, Valuation Control and Risk Managers to manage model risk across the model lifecycle
-Assist in cultivating and managing effective relationships with regulators by providing accurate and timely submissions -Masters or Ph.D. degree (or equivalent) in Finance, Economics, Mathematics, Physics, Engineering, or a related quantitative field
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-In-depth knowledge of mathematical finance, derivative pricing, and numerical techniques
-Relevant working experience of 5+ years
-The ideal candidate has strong experience with valuation models gained at a financial institution
-Experience developing pricing and risk models using Python, R or C++ (preferred)
-The ability to effectively communicate with a wide range of stakeholders, both written and verbally
-The ability to work independently in a self-directed way in a collaborative, team-oriented environment
-An interest in working in a fast-paced environment, often balancing multiple high priority deliverables