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Talent Acquisition Consultant at Huquo Consulting Pvt Ltd
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Model Validation Analyst - Consulting Firm (4-8 yrs)
Job Description :
- Model Validation Analyst serves as a member of a key strategic team that is responsible for a very wide range of quantitative initiatives that include valuation, risk ratings, loss forecasting, risk mitigation, capital planning, economic capital calculation and asset allocation.
Primary Responsibilities :
- Validates risk rating models across the bank
- Assesses a model back-testing process
- Applies SAS/programming development skills while performing and documenting test work for validation of market risk models, including derivative pricing, yield curve construction, Value at Risk (VAR) models, operational risk models, Pre-Provision Net Revenue (PPNR) forecasting models, origination and behavior scorecard models, loss forecasting models, anti-money laundering models, etc.
- Validation test work includes, but is not limited to, evaluating the conceptual soundness and implementation of the methodology, the validity of assumptions, the quality of data, and the accuracy of the outputs
- Writes and revises validation reports and issues
Requirements :
- Masters degree in Statistics, Mathematics or Quantitative Finance
- Three (3) years quantitative experience in the areas of statistical and computational methods
- Two (2) years in model validation
Skills and Competencies :
- Proficient with data management tools (SAS, SQL, Access), statistical software (R, Stata, Eviews), or other programming languages
- Proficiency with Visual Basic Script within Microsoft Excel, advanced data management skills and the ability to source data and convert it into a usable form without the benefit of a fully-developed data mart
- Ability to work on diverse set of high priority projects
- Excellent written and oral communication skills, especially clearly explaining quantitative concepts to non-quantitative people
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