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Job

VP - Model Validation - Market Risk

  • Location

    California

  • Sector:

    Financial Services and Banking

  • Job type:

    Permanent

  • Salary:

    $130,000 - 160,000

  • Contact:

    Devan Kovach

  • Contact email:

    d.kovach@hamlynwilliams.com

  • Salary high:

    0

  • Salary low:

    0

  • Published:

    25 days ago

  • Expiry date:

    2020-12-03

  • Startdate:

    ASAP

I’m currently working with a fast-growing banking client of mine on the West Cost who are looking to grow their model validation team. This is a unique opportunity to join a high performing team of quants. The ideal candidate should have 7-10 years of experience building/validating statistical models, specific to market risk, and providing in-depth model validation reports to model developers. 

Responsibilities:

  • Lead independent model validations across market risk, review model governance and control process; and assess the suitability and implementation of vendor models.
  • Build effective data governance framework
  • Assess and test the conceptual soundness of models
  • Perform outcomes analysis

Requirements:

  • Knowledge of model risk management and regulatory requirements
  • Experience with either QRM or BancWare systems
  • Advanced Python or R programming skills
  • Experience in designing tests, model outcomes analysis, scenario analysis, sensitivity analysis, and back-testing
  • Advanced degree in a quantitative study
  • Strong organizational and presentation skills