Contingent Worker - Model Risk Management Model Validation
Project: Quantitative risk model validation
I.Work to be performed:
• Review and validate quantitative risk model documentation
• Verify accuracy and reliability of the software implementation of the model
• Develop and implement complex independent tests to validate the model implementation
• Develop and implement independent models to benchmark OCC production models
• Assess the models by ensuring that the data used is valid
• Document testing activities
• Document validation activities
• Communicate with Quantitative Risk Management and other departments about issues and concerns
• Provide expert knowledge on recommendations throughout validation processes
• Create logical and innovative solutions to complex problems
• Complete all validation assessments to meet strict business timelines
• Other duties as assigned
II. SKILL AND EXPERIENCE REQUIRED:
Education and/or Experience:
• 6+ years of related experience as a goal of those to include.
2 or more years software development experience in C++, Java, C#, solid object-oriented
programming skills, MS SQL Server database, or similar current modern technology
• Some work or experience in Matlab or R/Splus desirable
• Advanced degree in mathematical finance, econometrics, mathematics, physics, chemistry or similar
discipline or science with quantitative focus
• Quantitative finance at the level of “Measuring Market Risk” by Kevin Dowd, or similar
Qualifications:
• Excellent verbal and written communication skills
• Ability to collaborate effectively
• Ability to work independently
• Complex problem solving skills
• Strong detail orientation, analytical, and assessment skills
• Ability to manage time effectively to meet project deadlines
• Strong multi-tasking skills