Market Risk Model Validation
2 months ago
Key Responsibilities: Validate models in accordance with client’s model risk management policy to assess model usage, documentation, conceptual soundness, data integrity and the control environment. Communicate results via formal model validation reports, as well as presentations to model owners and senior management. Evaluate model performance monitoring reports, and conduct model annual reviews. Maintain the model inventory and support the model risk governance process. Perform ad hoc (generally statistical) analysis of back tested or simulated performance information. Desired Qualifications Experience in model development, model validation or model governance Hands on experience minimum 2.5-7 years in similar portfolios. Programming experience with demonstrated exposure to multiple languages such as Python, SAS, R, MATLAB, SQL, VBA, C++ or similar languages. Familiarity with vendor investment analytic applications: Aladdin, Axioma, Barra Portfolio Manager, Barra One, RiskMetrics, Yieldbook, Moody’s Analytics, etc. Experience with vendor financial data vendors: Bloomberg, Refinitiv, CRSP, MSCI, Markit, S& P Capital IQ, etc. Solidunderstanding of financial predictive modeling, such as multi-factor risk models, time series forecasting, Value-At-Risk (VaR), optimization theory, and machine learning.
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