Quantitative Model Risk Analyst
9 hours ago
We are seeking a highly skilled Quantitative Model Risk Analyst to join our team at Acuity Knowledge Partners. As a key member of our model risk management group, you will be responsible for validating and assessing the mathematical models used in our organization.
Key Responsibilities:
- Gain deep understanding of the model inventory and risk management framework
- Validate CCAR stress testing models and provide guidance to model owners
- Analyze model outcomes and track ongoing model performance
- Represent client's model risk management group in interactions with model owners
- Drive adoption of best practices for model validation and assessment
Requirements:
- M.Sc/PhD in Mathematics / Statistics / Economics or MBA Finance with experience in MRM role
- Working knowledge in Stochastic Calculus, Linear Algebra, Differential Equations, Statistics, Simulation, Computational Methods and Numerical Analysis
- Strong knowledge in mathematical techniques used in VaR computation, Risk Charge calculations Tail Risk modeling
Estimated Salary: $120,000 - $180,000 per annum
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