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
- 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).
- 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: firstname.lastname@example.org
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