Associate - Quantitative Market Risk

  • Competitive Base & Bonus
  • New York, NY, USA
  • Permanent, Full time
  • Ashton Lane Group
  • 28 Sep 16

Support the model review of cleared products within the financial services industry

Responsibilities:

  • Perform validation on conceptual model assessment and implementation, input data validation, back testing and benchmark testing.
  • Review of technical papers on capital, margin and pricing models.
  • Identify model limitations and evaluate the materiality.
  • Assist the team 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.

Requirements:

  • 2+ years’ quantitative, model validation, risk management experience within financial services
  • Detailed knowledge of OTC derivatives and underlying markets, pricing models, sensitivities and valuation methods
  • Excellent communication skills.
  • Familiarity with Dodd-Frank regulations
  • Masters in Financial Engineering, Mathematics, or hard sciences required.  PhD  preferred

For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com

Ashton Lane Group is a boutique executive recruitment firm serving the Banking, Insurance, and Alternative Investment sectors. For the latest opportunities, visit www.AshtonLaneGroup.com

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