Description
*Hybrid, 3 days onsite, 2 days remote*
A prestigious financial firm is in the search for an Associate Principal, Model Validation. This person will focus on validation & assessments of the performance of quantitative models within the company. This position will require 6+ years of experience working with one or more of the following: C++, C#, Java, MatLab, etc.
Responsibilities:
- Review and validate quantitative risk model documentation
- Verify accuracy and reliability of the software implementation of the model
- Develop and implement complex independent tests to validate the model implementation
- Develop model risk analysis tools, such as back testing tools, to support ongoing model validation
- Develop and implement repeatable back testing suites for new and existing models
- Develop and implement independent models to benchmark company production models
- Assess the models by ensuring that the data used is valid
- Document testing activities
- Document validation activities
- Communicate with Quantitative Risk Management and other departments about issues and concerns
- Provide expert knowledge on recommendations throughout validation processes
- Create logical and innovative solutions to complex problems
- Complete all validation assessments to meet strict business timelines
Qualifications:
- 6+ years of related experience as a goal of those to include.
- 2 or more years of software development experience in C++, Java, C#, solid object-oriented programming skills, MS SQL Server database, or similar current modern technology
- Some work or experience in Matlab and R/Splus desirable
- Advanced degree in mathematical finance, econometrics, mathematics, physics, chemistry or similar discipline or science with quantitative focus
- Quantitative finance knowledge at the level of Measuring Market Risk by Kevin Dowd, or similar comparable.