- Independently review the models being assigned, fully understand the model theory and model assumption, and verify the formula derivation;
- Develop independent models to validate the model implementation correctness and identify the model shortcoming, assumptions, limitations;
- Communicate the model review findings to model developer and owners. Ensure model limitations are correctly identified, understood, and managed;
- Write high quality model appraisal reports, including conclusion, recommendation, detail analysis in model theory, formula, and testing;
- Participate in model control, governance, and monitoring. Assist in reporting requirements, producing detailed updates for Model Oversight Committees, Senior Internal Stakeholder Groups and Regulators;
- Mentor less experienced analysts and provide expertise and technical support across multiple projects
Skills/ Experience Required
- Master's degree in Mathematics/Statistics/Finance/Economics/Computer Science/Engineering, or other quantitative fields. Bachelor's degree from top schools in the above area with exceptional academic records
- At least 2+ years of experience in the financial/banking industry
- Must have a background in financial mathematics knowledge such as stochastic calculus, numerical methods, probability theory, regression, time series analysis
- Knowledge of programming skills in one or more of C/C++, VBA, R, SAS, Matlab,
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