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Duties: Assess the control environment supporting the firm's risk operations and model methodologies. Understand the design, implementation and use of models or quantitative methods across the firm, including the adequacy of developmental evidence and demonstration of effective independent challenge where warranted. Participate and lead in all aspects of audit activities including risk assessments, audit planning, audit testing, control evaluation, report drafting, work paper documentation and follow up and verification of issue closure. Partner with colleagues, clients and control community members to evaluate, test and report on the adequacy and effectiveness of management controls in accordance with department and professional standards. Ensure the delivery of a seamless program of audit coverage in partnership with other audit teams. Identify emerging control issues and report them to line of business and audit management. Perform periodic monitoring of operational and financial data to recognize patterns and trends with risk and control implications. Stay up to date with evolving regulatory and market events impacting the firm's risk organization.
Minimum education required: Master's degree or equivalent in Financial Engineering, or related field.
Minimum experience required: Two (2) years of experience in quantitative modeling and operational risk modeling, or related experience.
* Skills required: Knowledge of stochastic calculus. Knowledge of option pricing theory. Experience with CCAR / DFAST modeling. Experience with FRB/OCC SR11-7 Compliance. Experience with counterparty credit risk modeling. Experience with market risk modeling including value at risk. Experience with statistical analysis, including regression and MLE. Demonstrated coding skills with Matlab, R and Python. Employer will accept any amount of graduate coursework, graduate research experience or professional experience with the required skills.
Internal Number: 6289721
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