Review of technical papers on capital, margin and pricing models
Identify model limitations and evaluate the materiality.
Assist Senior team members in providing guidance regarding improvements in model design, implementation, output reporting, documentation and governance.
Evaluate model changes upon notification, perform testing on the changes, update the documentation and reconfirm model approval.
Assist in the ongoing monitoring of approved capital and margin models as a technical expert and provide ongoing assistance to the risk management team with due diligence inquiries involving collateral disputes.
Experience in model development, model validation, quantitative analysis, and/or risk management within financial services or commodity or energy firm or regulatory agency
Detailed knowledge of OTC derivatives and underlying markets, pricing models, sensitivities and valuation methods
Excellent communication skills.
Familiarity with Capital Requirement / Dodd-Frank regulations a plus
Advanced degree in economics, finance, mathematics, statistics or related field
For immediate consideration, please forward resume and contact details to: [email protected]
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