Vice President - Equity Derivatives Model Validation

  • Competitive Base & Bonus
  • New York, NY, États-Unis
  • CDI, Plein-temps
  • Ashton Lane Group
  • 19 oct. 17 2017-10-19

Supporting the Model risk management team of a global investment bank

Responsibilities:

  • Provide independent review and validation of equity derivatives pricing models.
  • Assist in the review and validation sign-off of CCAR/DFAST and other regulatory compliance related models.
  • Closely work with other teams within the firm to provide regular ongoing model performance assessments. Review analysis results with senior management and provide recommendations.
  • Write high-quality model review documentation that satisfies the firm’s internal model approval functions, audit requirements, and the Firm’s regulators (e.g., FRB, OCC, and PRA).

Requirements:

  • 7+ years’ experience in derivatives pricing and common numerical implementation techniques (e.g., Partial Differential Equation and Monte Carlo simulation)
  • Extensive knowledge of stochastic calculus and risk neutral pricing theory
  • Programming skills in a high-level language such as Matlab, R or SAS
  • Familiarity with SQL and VBA
  • Solid verbal and written communication skills with excellent relationship building experience
  • Master’s degree in Statistics, Economics, Financial Engineering, Operational Research, Physics or Mathematics. PhD preferred.

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

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