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Highly regarded premier financial services firm with excellent growth opportunities and a first-rate working culture is seeking a quantitative risk individual with a strong stochastic skill-set and experience in interest rate and mortgage models. The firm has an expansive multibillion dollar mortgage portfolio across the United States and is internationally recognized as one of the top financial services companies to work for.
The firm has an opening within the Model Risk Group on the second line of defense for model validation covering mortgage and interest rate models, as well as derivative valuation models. The Quant Risk Manager will be expected to lead model validation initiatives as well as develop alternative model approach. On a day to day, they will asses model risk by conducting detailed model validation reviews, evaluating performance thresholds, researching model approaches, and performing the full scope of responsibilities in line with a second line of defense function.
Lead model validation projects for interest rate and mortgage models
Develop alternative model approach as needed using C, C++, Python, MATLAB, etc.
Monitor and reporting on model performance
Provide timely and accurate assessments of model risk
Liaison with model developers in order to more effectively manage model risk
Graduate degree in a quantitative discipline, PhD highly preferred
At least three years direct experience in a model validation, model development, or risk analytics function
Experience with interest rate or mortgage models (or both), derivative valuation models a plus
Programming ability in C, C++, Python, Matlab, or R
Skill-set in the stochastic process with a demonstrated knowledge of applied probability