Model Validation - Quantitative Risk

$150,000 - $175,000

Full Time

  • Work from home


  • C++
  • Java
  • Matlab
  • Quantitative risk

Job Description

Associate Principal, Model Validation

SALARY: $150k - $175k plus 15% bonus


Hyrid, 3 days in office

Open to H1B

Validation & assessments of the performance of quantitative models, six years knowledge of C++ Java C# MatLab and R/Splus desirable will verify accuracy and reliability advanced degreed

You 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

Education and/or Experience:

  • 6+ years of related 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.