3 дня назад
Quantitative Analytics & Model Consultant Senior - Capital Markets Models
112 000 - 249 600$
Мэтч & Сопровод
Для мэтча с этой вакансией нужен Plus
Описание вакансии
Текст:
TL;DR
Quantitative Analytics & Model Consultant Senior - Capital Markets Models (Capital Markets Models): Performing independent validation of derivatives pricing, Value-at-Risk, and counterparty credit risk models with an accent on quantitative analysis, model risk assessment, and regulatory documentation. Focus on testing theoretical assumptions, analyzing large datasets with Python, evaluating model limitations, and communicating findings to technical, business, and regulatory stakeholders.
Location: In-office role based in Pittsburgh, PA, New York City, or Tysons Corner, VA.
Base salary: $112,000–$249,600 per year, plus incentive eligibility.
Company
is a financial services company with an independent risk management organization focused on model governance and regulatory compliance.
What you will do
- Perform independent qualitative and quantitative validation of capital markets models, including derivatives pricing, Value-at-Risk, and counterparty credit risk models.
- Assess model data quality, theoretical assumptions, methodologies, design, implementation, and performance.
- Test model assumptions, measure model risk, and evaluate model strengths and limitations.
- Collaborate with model owners, developers, reviewers, and the broader Model Risk Management team.
- Prepare detailed validation reports and regulatory compliance documentation for internal, external, and regulatory audiences.
- Develop and refine model frameworks, validate existing models, and analyze large datasets to support business decisions.
Requirements
- Master's or Ph.D. in Finance, Physics, Mathematics, or a related quantitative discipline with a stochastic calculus background; a bachelor's degree is listed as the formal education requirement.
- At least 8 years of financial services experience in model development or validation.
- Experience with derivatives pricing, Value-at-Risk, counterparty credit risk, Potential Future Exposure, Credit Valuation Adjustment, or Funding Valuation Adjustment models.
- Ability to independently assess complex quantitative models and communicate technical conclusions clearly to technical, non-technical, and regulatory stakeholders.
- Knowledge of regulatory requirements for market and counterparty credit risk models.
- Hands-on Python experience; QuantLib or another derivatives pricing library is preferred.
Nice to have
- Experience with QuantLib or other derivatives pricing libraries.
- Background in predictive analytics, financial analysis, data analytics, and quantitative techniques.
Culture & Benefits
- In-office work environment with an emphasis on inclusion, support, and collaboration.
- Medical, prescription, dental, and vision coverage, with a Health Savings Account option.
- 401(k) matching, pension, stock purchase plans, life insurance, and disability protection.
- Paid holidays, parental leave, vacation, occasional absence days, and family-care support.
- Educational assistance, wellness programs, and financial incentives.
- Employment visa sponsorship and STEM OPT participation are not provided.
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