Ofertas de Trabajo

Model Validation Group Manager

Evalueserve S.A.

Consultoria / Asesoría

Analista

Vacantes: 1

Publicado: 08/03/2019

Finaliza: 30/04/2019

Project Description:

This role is part of Evalueserve’s Risk and Compliance Practice, supporting some of the largest financial institutions in the US and Europe. We are looking for a senior team member to work on complex model validation assignments, providing hands-on guidance and leading a team that delivers client assignments and supports various model validation, monitoring and implementation teams. This role also supports Evalueserve in multiple research and innovation projects with regard to the Risk and Compliance model life cycle space, as well as advanced analytics in risk management. The team leader will also be responsible for knowledge sharing and training activities, working in close partnership with our teams in India and SMEs in the US and the UK.
Job description
The candidate will be required to work on one or more of the following Risk and Compliance models for global Investment banks:
• Market/Credit/Traded risk models for various asset classes (VaR models, stressed VaR Models, Asset Pricing Models, FRTB Models, Margining Models)
• Credit Methodology models for wholesale, financial institutions (PD/LGD/EAD models, CECL, and counterparty credit risk models)
• Stress testing models as under CCAR (balance sheet forecasting, PPNR, loss forecasting, scenario enrichment modeling, etc.)
• Operational risk models, including AML
Important responsibilities in this role include:
Performing various initial and/or ongoing model validation tasks, as per instructions and guidance from senior quants:
• Running tests and calculating pricing on third-party models/platforms such as Bloomberg MARS, Risk Val, Kynex, and Numerix, etc.
• Writing code for statistical/mathematical models, financial models for benchmarking, and for validation of high-risk models on QuantLib and other libraries
• Reviewing model implementation in production code; performing additional testing
• Performing direct and indirect validation of calibration in models
• Conducting model risk analysis, stress testing, and other tests under different scenarios
• Drafting a validation report with analysis of test results, a description of mathematics and other equations underlying the model, as well as a summary of findings, etc.

Descripción de oferta:

Area de Trabajo:
Finanzas
Zona Geográfica:
Provincia:
Duración de contrato:
Indefinite
Jornada
Full Time
Tipo de contrato
Indiferente
País:
Chile
Ubicación en el extranjero:
Viña del Mar

Requisitos

Requisitos Mínimos:
Skill Set Required
• Sound knowledge of stochastic calculus, as well as statistical and econometric concepts and their applications to risk model development
• Strong knowledge in one or more of the following programming languages: R/SAS, Matlab, Python, SQL programming, C++ ; experience with QuantLib and other open source quant libraries is a plus
• Ability to articulate ideas and make recommendations
• Proficiency in developing and giving presentations
• Strong oral and written communication skills, including the ability to document and present model development processes and analytical results that are suitable for audiences of all technical levels
• Strong analytical and interpersonal skills
Experiencia Mínima:
Más de 2 años
Estudios mínimos:
Universitario
Situación Académica:
Graduado
Dominio Computacional:
Carrera:
Idiomas Requeridos:
  • Inglés

    Escrito: Avanzado - Hablado: Avanzado - Lectura: Avanzado

Institución:

Preguntas

Pregunta 1:
What is your level of English (1-basic, 10-native)?
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Pregunta 2:
How does your background and professional experience fit the job description? Please elaborate on any professional experience that you have managing and/or mentoring teams, as well as coaching junior team members.
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Pregunta 3:
What is your experience with one or more of the following programming languages: R/SAS, Matlab, Python, SQL programming, and C++? Please elaborate on any professional/academic experience that you have using these tools (number of years, type of work).
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Pregunta 4:
What is your availability/notice period? Are you willing to move to Viña del Mar?
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Pregunta 5:
What is your current salary, and what are your salary expectations?
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