Quantitative Strategist - Investment Model Validation
Location:
Bridgewater , New Jersey
Posted:
May 17, 2017
Reference:
52601-en_US

Job Location: United States : New Jersey : Bridgewater  Alternate Job Location : United States : New Jersey : Whippany || United States : New York : New York  

 

 

As part of Corporate Risk Management, the Quantitative Strategist of the Model Validation unit will be supporting the Director within the Model Validation Team to perform validation of models used throughout the global enterprise. This includes models used in derivatives, structured, alternatives, credit risk and other complex investment related models. Other models include, cash flow testing, asset-liability management, Economic Capital, Risk Based Capital and pricing.  The Quantitative Strategist will report into the Director of Model Validation.

 

 

  • Verify model performance and use, (i.e. correct implementation, limitations, simplifications, response to stress/extreme input conditions).
  • Assess the mathematical, statistical, theoretical and conceptual soundness of each model; effectively challenge model assumptions, inputs, methodologies and output.
  • Evaluate industry practices and compare to current state to challenge solutions (models, data and software) model use.
  • Test model output through building of challenger models, back testing, sensitivity analysis or stress testing as applicable.
  • Evaluate internal and/or external model documentation to assess compliance with the Enterprise Model Risk Governance Policy.
  • Assess data sources and quality.
  • Identify gaps in the model and process and prepare recommendations for inclusion in the model risk report.
  • Draft validation reports that address results of the review and testing performed calling attention to areas of concern, and/or uncertainty along with suggested remediation.
  • Perform reviews of the annual model risk assessment rating and challenge model owner ratings.

 

  • Master Degree or PhD degree (or other advanced degrees) in mathematics, statistics, actuarial science or Finance.
  • 4 - 5 years of experience in developing and validating complex investment and insurance models.
  • FSA preferred, but not required.
  • Competency in high level programming languages such as C++, Numerix, MatLab and other asset modeling platforms. Knowledge of actuarial software is a plus.
  • Strong financial engineering background with in-depth experience in derivatives, securitized assets modeling and other complex assets.
  • Ability to influence others.
  • Strong analytical skills of complex models and products.
  • Excellent verbal and written communication skills.
  • Ability to manage multiple projects.

 

Global Risk Management

 

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At MetLife, we’re leading the global transformation of an industry we’ve long defined. United in purpose, diverse in perspective, we’re dedicated to making a difference in the lives of our customers.

 

 

MetLife is a proud equal opportunity/affirmative action employer committed to attracting, retaining, and maximizing the performance of a diverse and inclusive workforce. It is MetLife's policy to ensure equal employment opportunity without discrimination or harassment based on race, color, religion, sex (including pregnancy, childbirth, or related medical conditions), sexual orientation, gender identity or expression, age, disability, national origin, marital or domestic/civil partnership status, genetic information, citizenship status, uniformed service member or veteran status, or any other characteristic protected by law.

MetLife maintains a drug-free workplace.

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Requisition #: 52601 


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