Model Validation/ Risk Management recruitment

The Company
My client is the largest and top-ranked provider of high end research and analytics services to the world's leading commercial and investment banks, insurance companies, corporations, consulting firms, private equity players and asset management firms. They operate from research centers in Argentina, China, India and Poland, providing research support across several time zones and in multiple languages to global organizations. It has deep expertise in the areas of equity research, fixed income research (covering global economies, 150 global sectors and over 3000 global companies), valuations, pricing complex derivatives, structured finance, risk management, actuarial analysis and business intelligence.

Key responsibilities include reviewing pricing and risk model documentation , understanding pricing and validation methodologies, developing and executing test plans, writing/modifying valuation scripts, analyzing model weaknesses, benchmarking to external vendor models, documenting and reporting the results

The model coverage would include
• Fixed income/exotic derivatives
• Credit/mortgage/loan/retail models
• Actuarial - life insurance, annuities, catastrophe models
• Bank-wide/firm-level stress-testing models

Requirements:
- Masters or PhD in a quant field
- Excellent understanding of any of the following products/models -
- Fixed income/exotic derivatives
- Credit/mortgage/loan/retail models
- Actuarial - life insurance, annuities, catastrophe models
- Bank-wide/firm-level stress-testing models
- Excellent understanding of modeling/valuation/stochastic techniques
- Extensive experience in model development validation and stress-testing
- Excellent understanding of the regulatory environment, including the OCC guidelines for model validation (2011)

Systems skills:
- Familiarity with any of Polypaths, Yieldbook, Andrew Davidson and Company, Intex, MoSes, Barrie-Hibbert, Numerix, Calypso or related systems

Other Skills:
- Should be a team player and possess excellent communication skills