VP – Economic Capital Model Validation recruitment
Responsibilities:
• Conduct independent validations of key models developed by the Economic Capital (Credit, Market, Operational and Strategic/Business risks) and Basel modeling groups. This will require a thorough understanding of the models’ theoretical frameworks and implementation practices.
• Oversee projects to assess soundness of modeling approaches and business assumptions: segmentation, distribution selection and fitting, aggregation, and allocation methodologies.
• Independently research, identify and prototype industry best modeling practices.
• Contribute to the development and maintenance of enterprise-wide policies and procedures for validating models in accordance with OCC Bulletin 2011-12
• Interact with the business managers and developers
• Present validation results to senior management
Requirements:
• 5+ years of experience as a user, developer or validator of economic capital calculation and allocation methodologies
• Advance knowledge of time series analysis (econometrics), multivariate distributions theory (including copulas), low-frequency / high-severity data distribution fitting, and Monte Carlo simulation
• Direct experience working with SAS, Matlab, or R
• Strong communication skills
• CFA (Chartered Financial Analyst) or FRM (Financial Risk Manager)
• Master’s degree in a quantitative discipline (e.g., statistics, physics, math)
For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com
Ashton Lane Group is a boutique executive recruitment firm serving the Banking, Insurance, and Alternative Investment sectors. For the latest opportunities, visit www.AshtonLaneGroup.com
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