Director Quantitative Analyst Model Validation

  • Competitive Base & Bonus
  • Washington D.C., DC, USA Washington D.C. DC US
  • Permanent, Full time
  • Ashton Lane Group
  • 16 Jul 18 2018-07-16

Senior position managing the validation of capital markets and stress testing models for a large commercial bank

Responsibilities:

  • Lead model validation projects within stress testing models, Interest Rate and Liquidity Risk Management models.
  • Understand business processes and portfolios associated with model use, and the nature of model use within those processes
  • Asses the methodologies and processes used by modeling teams to develop and manage their models, and identifying potential risk and the associated materiality of the risk
  • Benchmark model methodologies and performance by specifying and managing the development of alternative models
  • Provide constructive and actionable solutions to model issues identified
  • Research industry practices related to model methodologies
  • Document validation processes and results
  • Comply with the company’s model policy and regulatory requirements
  • Communicate validation results to management, model owners, regulators, and auditors

Requirements:

  • 5+ years of experience with validation of stress testing models, Interest Rate and Liquidity Risk Management models
  • Broad experience in Balance Sheet Management, Net Interest Forecast, Capital Market, or Liquidity Risk Management
  • Proficiency in QRM Analytics Software
  • Excellent oral and written communication skills.
  • Programming languages (Proficiency in Machine Learning, Cloud, and Python
  • Advanced degree (PhD or MS) in a quantitative discipline (e.g., statistics, physics, math)

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

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