Associate - Quantitative Market Risk
- Competitive Base & Bonus
- New York, NY, États-Unis
- CDI, Plein-temps
- Ashton Lane Group
- 15 sept. 17
Support the model review of cleared products within the financial services industry
- Perform validation on conceptual model assessment and implementation, input data validation, back testing and benchmark testing.
- Review of technical papers on capital, margin and pricing models.
- Identify model limitations and evaluate the materiality.
- Assist the team in providing guidance regarding improvements in model design, implementation, output reporting, documentation and governance.
- Evaluate model changes upon notification, perform testing on the changes, update the documentation and reconfirm model approval.
- Assist in the ongoing monitoring of approved capital and margin models as a technical expert and provide ongoing assistance to the risk management team with due diligence inquiries involving collateral disputes.
- 2+ years’ quantitative, model validation, risk management experience within financial services
- Detailed knowledge of OTC derivatives and underlying markets, pricing models, sensitivities and valuation methods
- Excellent communication skills.
- Familiarity with Dodd-Frank regulations
- Masters in Financial Engineering, Mathematics, or hard sciences required. PhD preferred
For immediate consideration, please forward resume and contact details to: email@example.com
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