model validation quant in Chicago for a top bank

  • competitive
  • Chicago, IL, USA
  • Permanent, Full time
  • Non-disclosed
  • 08 Jan 18 2018-01-08

a premium bank in Chicago is looking for a Senior Quantitative Financial Analyst in its Model Risk Management team. The successful candidate will work on the validation of models in the Global Markets area, including models for market risk, stress testing (CCAR), and prime brokerage.

Responsibilities:

Work closely with model developers and risk management groups

Validate risk models for VaR, IRC/CRM, stress testing, etc.

Review the underlying theory, assumptions, limitations, implementation and testing of the models

Identify and quantify associated model risk

Analyze results of ongoing monitoring of model performance

Prepare model validation reports and technical documents

Required Skills:

Master (PhD preferred) in a quantitative field such as mathematics, physics, statistics or operations research

6+ years of experience in a quantitative finance role

Cross-asset class experience a strong plus

Strong intuition for financial markets and risks

Strong mathematical and modeling skills

Strong programming skills (C++ or Python a plus)

Excellent communication skills (written and verbal)

Strong aptitude for independent critical thinking

Effective team player

Very hands-on and detail oriented, “can-do” attitude