Quantitative Model Validator for Risk Management
1 month ago
In this exciting opportunity, you will play a critical role in ensuring the accuracy and reliability of our quantitative models used for risk management purposes. As a Quantitative Model Validator, you will be responsible for validating these models to ensure they meet regulatory requirements and industry best practices.
Responsibilities- Initial and periodic validation of quant models to ensure compliance with regulatory requirements and industry standards
- Designing, modeling, and prototyping challenger models to verify the robustness of existing models
- Performing quantitative analysis and review of model frameworks, assumptions, data, and results to identify potential issues
- Testing numerical implementations and reviewing documentations to ensure accuracy and completeness
- Verifying adherence to governance requirements and documenting findings in validation reports
- Raising recommendations for model improvements and tracking remediation efforts
- Preparing model risk reporting for senior stakeholders, including the Board and Model Oversight Committee
To succeed in this role, you will need:
- Extensive experience in quantitative modeling (model development or validation) with a strong background in market risk models, counterparty credit risk models, and derivatives pricing models
- Good knowledge of Math and Probability theory applied to finance, as well as Data Science and Statistical inference techniques
- Strong understanding of financial products and markets, with good programming skills in Python or R (or equivalent)
- Awareness of latest technical developments in financial mathematics, pricing, and risk modeling
MUFG Americas is a leading financial group with a global presence. Our team is dedicated to providing exceptional service and innovative solutions to our clients. We offer a dynamic and supportive work environment, with opportunities for growth and professional development.
The estimated salary range for this position is $120,000 - $180,000 per year, depending on experience and qualifications. This figure is based on industry standards and location considerations. If you are passionate about risk management and have a strong background in quantitative modeling, we encourage you to apply.
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