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This role will perform independent reviews and validations of models covering a wide range of financial instruments with primary focus on actuarial models.
KEY RESPONSIBILITIES AND DUTIES:
Evaluation of models based on: conceptual soundness of model specification, assessment of model assumptions and limitations including input data and parameters, design and methodology, completeness of testing performed to support the correctness of the implementation, suitability and comprehensiveness of performance metrics and risk measures associated with use of a model
Design and implementation of tests to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions
Performing model benchmarking by using alternative approaches
Communicating validation results and discussing issues, challenges and methodologies with internal audiences including model owners and senior management
Advanced degree in a quantitative discipline (statistics, mathematics, hard sciences or engineering) is required.
A minimum of 7+ years working experience in quantitative financial modeling or model validation covering one or several of the following areas: stochastic processes; actuarial/ALM; derivatives; structured products; credit and market risk; fixed income; asset allocation is required.
Programming skills in both general-purpose languages and statistical software is required (such as SAS, MATLAB, C++, etc.).
Formal actuarial experience, i.e. FSA/ASA, is a strong plus.
Understanding of supervisory guidance on Model Risk Management (SR 11-7) preferred.
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This organization is an equal employment opportunity (EEO) employer, dedicated to maintaining a work environment free of bias, harassment, discrimination and retaliation. As an EEO employer, this organization expressly prohibits discrimination, harassment, and retaliation on the basis of race, creed, ethnicity, color, age, religion, sex, sex stereotype, pregnancy (including childbirth, breastfeeding or related medical conditions where applicable), sexual orientation, gender, gender identity, gender expression, transgender, marital status, national origin, ancestry, physical or mental disability, requesting a reasonable accommodation based on mental or physical disability, medical condition (as defined by applicable law), genetic history and information, citizenship status, military or veteran status, or any other status protected by federal, state, or local law or ordinance or regulation (collectively referred to here as “protected characteristics”).
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