Project Background: This senior financial engineer will have major responsibility in the validation and assessment of the performance of quantitative models at the client.
The role will include significant interaction with the Quantitative Risk Management and technology departments.
Roles and Responsibilities:
• Review and validate quantitative risk model documentation
• Verify accuracy and reliability of the software implementation of the model
• Develop and implement complex independent tests to validate the model implementation
• Develop model risk analysis tools, such as back testing tools, to support ongoing model validation
• Develop and implement repeatable back testing suites for both new and existing models
• Develop and implement independent models to benchmark production models
• Assess the models by ensuring that the data used is valid
• Document testing activities
• Document validation activities
• Communicate with Quantitative Risk Management and other departments about issues and concerns
• Provide expert knowledge on recommendations throughout validation processes
• Create logical and innovative solutions to complex problems
• Complete all validation assessments to meet strict business timelines
• Other duties as assigned Required Skills: The requirements listed are representative of the knowledge, skill, and/or ability required.
Reasonable accommodations may be made to enable individuals with disabilities to perform the primary functions.
• Excellent verbal and written communication skills
• Ability to collaborate effectively within the department and across other departments
• Ability to work independently
• Complex problem solving skills
• Strong detail orientation, analytical, and assessment skills
• Ability to manage time effectively to meet project deadlines
• Strong multi-tasking skills Technical Skills:
• 2 or more years software development experience in C++, Java, C#, solid object-oriented programming skills, MS SQL Server database, or similar
• Experience in Matlab and R/Splus desirable Education and/or Experience:
• 5 years of related experience
• Advanced degree in mathematical finance, econometrics, mathematics, physics or similar discipline with quantitative focus W-2 Only (NO C2C)
– Please send resumes to v-jkileypointb.com