Senior Manager Market Risk Model Validation


Company:: Ashton Lane Group
Location:: Washington, US
Job Type:: Full Time
Category:: Risk Management

Yrs of Exp:: 5+ to 7 years
Posted:: 5/3/2013

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Job Description

Responsibilities:

• Conduct independent validations of key models used by the Treasury and Balance Sheet Management groups.

• Ensure the accuracy and robustness of the firm's key Market Risk, Asset Liability and Treasury models

• Develop a thorough understanding of the models' theoretical frameworks, implementation, and use in practice to evaluate complex business decision making processes

• Present the findings of these validations to senior management, as well as follow up on remediation efforts.

• Monitor model performance, review model changes and document model governance decisions to comply with model policy.

• Analysis and Presentation of reviews and proposed recommendations, model limitations, and reserving methodologies to senior management

• Oversee the work of and mentor junior staff.

Requirements:

• 5+ years of experience with Capital Markets models, such as Portfolio Valuation (fixed income, loans, and derivates), Market Risk management, Asset Liability management, Mortgage or Asset-backed securities, and prepayment or loss modeling.

• Strong experience in fixed income and derivatives pricing and risk methodologies, or econometrics (strong knowledge of multivariate distributions and time series analysis)

• Hands on QRM-BSM (Balance Sheet Management) experience or equivalent.

• Excellent oral and written communication skills.

• Programming languages (Matlab, VBA, or C++), database queries (SQL)

• Advanced degree (PhD or MS) 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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