Senior Consultant at Black Turtle
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AVP/Vice President - Derivatives Quants Modelling (3-13 yrs)
Financial Institutions routinely use models for a broad range of activities including analyzing business strategies, informing business decisions, identifying and measuring risk, valuing exposures or instruments, hedging derivative positions, conducting stress testing, assessing capital adequacy, managing clients assets, informing investment process, measuring compliance with internal limits, maintaining the formal control apparatus of the bank, meeting financial or regulatory reporting requirements and issuing public disclosures. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.
As part of the firm's model risk management function, the Model Governance Group (MGG) is charged with developing model risk policy and control procedures, performing model validation activities, providing guidance on a model's appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.
The model manager will support the Asset and Wealth Management Model Governance Group (MGG) group (based in New York), which is responsible for working with the business on implementation of the firmwide Model risk policy and procedures, performing independent reviews of models, and model risk assessment.
The successful candidate will focus on the following activities:
- Perform independent model reviews, and document review process and conclusions. Analyze quantitative models used by portfolio managers and traders in Asset Management, models used by risk managers, and regulatory and economic capital models. Perform implementation testing and statistical analysis. Identify and highlight limitation of methodologies, identify and quantify misunderstood or understated risks.
- Perform assessments of the conceptual soundness of model specification, the appropriateness of the methodology for its intended purpose, reasonableness of assumptions and reliability of inputs
- Assess completeness of testing performed to support the correctness of the implementation
- Assist with model identification process, assessing whether newly identified methodologies should be in scope of the model risk policy
- Work with model developers and model users across the firm to understand methodology and usage
- Liaise with other Model Governance groups in relevant coverage areas across the firm
Essential skills, experience, and qualifications:
The successful candidate will have the following skills, experience, and qualifications:
- 2+ years of cumulative experience in either of the following areas:
- Quantitative Model Development or Review (with relevant asset class expertise)
- Market Risk Management or another quantitative function preferably within asset management
- At a minimum, Master's degree in Statistics, Engineering, Physics, Mathematics or a quantitative science.
- Strong quantitative, analytical, and problem-solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods
- Knowledge of finance industry, particularly in modeling- valuation, risk, capital, forecasting, investment management
- Experience in model validation and/or model development preferred
- Demonstrated knowledge of statistical analysis
- Coding experience in R, Matlab, and/or VBA
- Understanding of optimization techniques, such as linear, quadratic and robust optimizations
- Understanding of risk management models
- Strong communication and interpersonal skills
- Strong project management and organizational skills; ability to multi-task and meet deadlines
- Ability to work independently, with remote supervision
- Risk and control mindset: ability to ask incisive questions, assess materiality and escalate issues