• Cash Bonus + Benefits
  • Manhattan, NY, USA
  • Permanent, Full time
  • Selby Jennings QRF
  • 2018-07-12

VP Model Validation - Securitized Products - NY

  • Location: Manhattan, NY, USA
  • Salary: Cash Bonus + Benefits
  • Job Type: Full time

Premier model risk management group at a leading global investment bank is expanding the MRM team for validation and review of MBS and ABS models. You will be reporting to the Head of Model Validation Americas and be two steps removed from the CRO. This position has high visibility and you will be expected to spearhead model review efforts for fixed income and mortgage models.

Premier model risk management group at a leading global investment bank is expanding the MRM team for validation and review of MBS and ABS models. You will be reporting to the Head of Model Validation Americas and be two steps removed from the CRO.

This position has high visibility and you will be expected to spearhead model review efforts for fixed income and mortgage models. Programming expertise is required as you will benchmark models against alternative models. Additionally, the role requires developing models in the independent benchmark library.

Responsibilities

  • Conduct model validation for MBS/ABS models
  • Evaluation of model assumptions and review of model implementation
  • Benchmark models against alternative models
  • Develop models in the independent benchmark library

Requirements

  • Masters or PhD in STEM-related discipline
  • 1-4 years experience
  • Programming expertise in Python, R, or C++
  • Familiarity with
    • MBS, ABS models (prepayment modelling, OAS valuation)
    • Interest Rate Modeling (short-rate models, HJM/BGM)
    • Risk models (VaR, Counter-party Exposure)
Manhattan, NY, USA Manhattan NY US