Econometric Modelling & Stress Testing

Our Client:

Our client is a leading financial services organization with operations in more than 45 countries worldwide. They are an esteemed brand within the industry and always strive to recruit the best talent in the industry.

Key Responsibilities:

- Develop, implement and manage holistic strategies for modeling (design, development, validation, calibration, documentation, approval, implementation, monitoring and reporting), in collaboration with Risk Modeling Leader

- Conduct analytics to validate the performance of existing quantitative risk models, recommend changes, and lead gap closing projects

- Manage model supporting data warehouses in terms of accuracy and completeness; shape data and process structures from System of Record to Data warehouse to ensure accuracy and precision of data used for modeling, reporting and analysis

- Drive standardization of processes that ensure timely generation and retrieval of reporting and risk analytics data, including support of model management framework

- Create the foundation for more sophisticated approaches to modeling and advanced analytics where beneficial

- Establish and maintain strong relationships with key functional stakeholders (Risk, Finance, IT, Ops)

Successful Applicant:

- Master's degree or Ph.D. in Economics, Statistics, Finance, Financial Engineering, or Business preferably with an emphasis on quantitative risk or valuation modeling; additional professional credentials such as FRM, CFA, or PRM are desirable

- Demonstrated understanding of prepayment and interest rate modeling (various classes of interest rate models, variance reduction methods, challenges in yield-curve construction, PCA) as well as option pricing models.

- Strong grasp of financial mathematics i.e. PDE, Black-Scholes, model review, derivatives etc.

- At least 5 years experience of designing, enhancing, and implementing valuation and risk models/analytics across a range of asset types including fixed income securities, structured products, and whole loans.

- Extensive knowledge of market risk, credit risk, and counterparty credit risk methodologies

- Understanding of quantitative modeling requirements in market risk management, financial reporting, valuation models used in financial services industry including the ability to assess models in their ecosystem.

- Extensive background in econometric modeling (regression analysis, time-series modeling, volatility models, cross-sectional models, multivariate models, and Monte-Carlo simulation); knowledge of MatLab, VBA, Bloomberg, and Intex (desirable)

- Strong written and oral communication skills, including the ability to explain complex, technical issues and make clear recommendations to stakeholders

- Ability to assimilate new information, understand complex topics, execute sound judgment, develop sound conclusions and make recommendations in a timely manner

- Exceptional interpersonal skills - ability to communicate, collaborate, and influence a diverse group of stakeholders