Market Risk Model Governance (Mortgage / Prepayment Models) | Top 5 US Bank | Washington D.C
Market Risk Model Governance (Mortgage - Prepayment Models) | Top 5 US Bank | Washington D.C
Location - Washington, USA
Salary - Excellent Compensation + benefits bonus
Description:
A leading global US Bank is looking to expand the model governance group which sits within Quantitative Market Risk function. The role will report into the Head of Market Risk Analytics and will have excellent opportunity for career progression within the group as they will be looking to expand again in 2013.
The responsibilities of the role will include the governance and validation of models from Market risk and capital markets: asset-liability management, mortgage prepayment, scenario analysis, stress testing, liquidity risk, deposit modelling, interest rate derivatives pricing, investment securities, VaR, CVA, PFE, or any combination of the above. This means that the role has an excellent exposure across multiple business lines allowing for a successful candidates to add to their skills set.
Key Requirements:
• Advanced degree in a quantitative subject such as economics, business, statistics, finance, applied mathematics, financial engineering, or other hard science.
• 3+ years of hands on experience with vendor QRM (BSM, MSR or MB), ADCO or AFT prepayment models, Polypaths, Derivatives Solutions, Murex, Calypso, Reval, FinCAD or similar.
• Excellent written and communication skills
• Direct experience in Model or Market Risk Governance
• Willing to relocate to Washington
• Excellent Excel user
Key Words:
Market Risk, Model, Governance, Validation, Quantitative, Mortgage, Pre-payment, Commercial Loans, Analytics.
If this opportunity is something which is of interest please don?t hesitate to apply and a consultant will be in touch as soon as possible.
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