Credit Analyst/Senior Credit Analyst - Model Validation

ROLE SUMMARY:

Functional Responsibility / Domain Related

Model Validation is a member of a model validation team which independently validates (tests) the quantitative financial models and engines that are developed throughout S&P Rating Services.

Will support the model validation process for the full life cycle of S&P's Rating Services models.

Responsible for reviewing developmental evidence, conducting model replication and back-testing, and verifying that the models being reviewed are appropriate implementations of the relevant S&P Criteria

Specialist will utilize MATLAB, C++ and SAS to complete their assigned tasks on a timely basis.

Interact with business unit staff to gather model related information and clarify model related questions

Communicate findings and recommendations with Ratings Quality and Ratings Business

Enhance procedures for model validation to meet new standards

Process Adherence

Follow defined processes in day to day execution of assignments

Ensure that new knowledge gained is retained and documented through operating manuals

Strictly practice and follow all Compliance, Confidentiality, and Information Security Policies, Procedures and Guidelines of the Organization.

Client Management / Stakeholder Management

The position requires regular interaction with internal clients in S&P ratings.

QUALIFICATION

Advanced degree in Economics, Mathematics, Probability and Statistics, Quantitative Finance or a closely related discipline (Masters or Ph.D.).

SKILLS

The ideal candidate will have strong financial modeling and empirical research skills, as well as hands-on experience in implementing models

Good quantitative financial knowledge in the areas of stochastic interest rate modeling, prepayment modeling, spread modeling, default modeling or cash flow modeling preferred.

Good programming skills in SAS, MATLAB or C++.

Strong ability to communicate complex technical results to non-quantitative audience.

Ability to work independently

Excellent communication and interpersonal skills.