What You'll Do:
The Associate Principal level individual we are looking for, will have responsibility in the validation and assessment of the performance of quantitative models.
The role will include significant interaction with the Quantitative Risk Management and technology departments.
• 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 model risk analysis tools, such as back testing tools, to support ongoing model validation
• Develop and implement repeatable back testing suites for new and existing models
• Develop and implement independent models to benchmark 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
• Education and/or Experience:
• 6+ years of model validation or quantitative experience as a goal of those to include.
2 or more years of 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 and R/Splus desirable
• Advanced degree in mathematical finance, econometrics, mathematics, physics, chemistry or similar discipline or science with quantitative focus
• Quantitative finance knowledge at the level of “Measuring Market Risk” by Kevin Dowd, or similar comparable.
Qualifications:
The requirements listed are representative of the knowledge, skill, and/or ability required.
Reasonable accommodations may be made to enable individuals with disabilities to perform the primary functions.
• Excellent verbal and written communication skills
• Collaborate effectively within the department and across other departments
• 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
What We Offer
A highly collaborative and supportive environment developed to encourage work-life balance and employee wellness.
Some of these components include:
• A hybrid work environment, up to 2 days per week of remote work
• Tuition Reimbursement to support your continued education
• Student Loan Repayment Assistance
• Technology Stipend allowing you to use the device of your choice to connect to our network while working remotely
• Generous PTO and Parental leave
• Competitive health benefits including medical, dental and vision
Flexible work from home options available.
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