Derivative Pricing- Model Validation
2 months ago
Decide upon appropriatemethodologyfor benchmarking and challenger models.Conduct qualitative review of the model;
examine documentation for detailed description of the theory, references to the base model, product description, mathematical and technical parameter.Develop and code challenger models for benchmarking and for validation of high-riskmodel.Review model implementation into the production code;
Perform additional testing.Perform direct and indirect validation of calibration in the models.Conduct model risk analysis, stress testing and other tests under different scenarios.Draft a validation report with executive summary with approval/disapproval, restrictions on model usage;
summary of findings andremediation plans.What we’re looking forA master’s or bachelor’s degree in applied quantitative discipline (e.G. Econometrics, Statistics, Financial Mathematics, Physics or Engineering)Sound knowledge of stochastic calculus, statistical and econometric concepts and their application in risk model development.Ability to think out of the box and work on models not encountered before.Programming skills are essential for the role. Strong knowledge in one or more of the following programming languages Python, R, Matlab.;
Experience with QuantLib and otheropen source quant libraries is a plus.Working knowledge of C++ gained in the industry.Ability to articulate ideas and make recommendations.Proficiency in developing and giving presentations.Strong oral and written communication skills, including the ability to document and present model development process and analytical results suitable for audiences of all technical levels.Strong analytical and interpersonal skillsDisclaimer: The following job description serves as an informative reference for the tasks you may be required to perform. However, it does not constitute an integral component of your employment agreement and is subject to periodic modifications to align with evolving circumstances.
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Senior Analyst/Lead Analyst
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Quantitative Risk Model Validator
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Manager – Risk Modelling
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Inviting Applications In Cat Modelling
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Data Modeler
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Data Modeler
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Financial Modeling
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Actuarial Consultant
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Actuarial Consultant
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Finance Lead 1
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Senior Manager-Data Science
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Senior Manager-Data Science Lead
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