New York, United States
Tier 1 Global Financial Services International market infrastructure and capital markets company is looking to bring on a Sr Technical Risk Analyst. Ideal candidate should have experience with the following below. If you are interested and have this relevant experience please apply.
· Experience validating models which include fixed income derivatives pricing, model suite (with emphasis on the interest rate and prepayment models) and counter-party credit exposure models
· Design independent testing functionality for prepayment / risk sensitivities
· Being able to develop various benchmark models (prior experience with rates and/or prepay model development is a plus)
· Contribute to all aspects of model risk control and identify model issues. Should be able to also design risk’s for ongoing performance assessment, provide high quality model validation documentation and model risk reporting
· Be involved with establishing model governance framework
· Assist risk and business management in all aspects of model risk
Personal Qualities & Experience:
· PhD or MS degree in Applied Mathematics, Finance, Statistics, Physics, Engineering or similar.
· 5+ years’ experience in a Model Validation/ Front Office Quant or Risk Quant role. Ideal candidate should have exposure in rates or securitized product (RMBS, CMBS, ABS).
· Excellent quant experience with rates/ interest rates and strong knowledge of pricing models and interest rate curve construction methodologies
· Understanding of prepayment / loan loss forecasting models would be a plus
· Working experience with models (is highly preferred)
· Strong understanding and familiarity with derivative pricing / statistical models