Quantitative Risk Model Validator

3 weeks ago


Uncha Samana, India Evalueserve Full time
About Evalueserve

Evalueserve is a global leader in delivering innovative and sustainable solutions to a diverse range of clients, including over 30% of Fortune 500 companies. With presence in more than 45 countries across five continents, we excel in leveraging state-of-the-art technology, artificial intelligence, and unparalleled subject matter expertise to elevate our clients' business impact and strategic decision-making.

Job Title: Sr Analyst/Lead Analyst

We are seeking a highly skilled Sr Analyst/Lead Analyst to join our Risk and Quant Solutions team. As a key member of our team, you will be responsible for performing various initial and ongoing model validation tasks independently or in collaboration with senior quants in New York and London.

Key Responsibilities:
  • Create approach note and testing plan for validation of the assigned model
  • Decide upon appropriate methodology for benchmarking and challenger models
  • Conduct qualitative review of the model, examining 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-risk model
  • Review model implementation into the production code
  • Perform additional testing, 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 and remediation plans
Requirements:
  • A 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 other open 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


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