Associate, MBS/ABS Model Validation

Full Time

Financial Services Client

Office Status: Hybrid

Role Description:

  • Associate level position in Global Model Validation Group with major responsibility for validating MBS/ABS models.
  • Evaluation of model assumptions and review of model implementation to ensure it is consistent with its theoretical basis and that it is working correctly.
  • Benchmark models against alternative models, including developing models or component of the models in the independent benchmark library. Investigate and evaluate the reasonableness of any differences, recommend/define any measurement to account for any shortcomings.
  • Identify, analyze, and quantify any potential model risk, including sensitivity to model assumptions, model calibration, opaque parameters, stability of the model outputs, etc.
  • Write up a comprehensive documentation
  • Running of the required processes such as periodic model review, model restrictions monitoring, model performance monitoring and regression testing, etc.

Qualifications:

  • 1-3 years of experience from working in a model validation or a FO quantitative group at a major financial institution
  • Familiarity with the following models is strongly preferable (but not required)
    • MBS/ABS models (prepayment modelling, OAS valuation)
    • Interest rate modelling (short-rate models, HJM/BGM)
    • Risk models (VaR, Counterparty Exposure, etc.)
  • PhD/Postgraduate degree in Statistics, Mathematics, Physics, computing science or similar education
  • Strong programming skills in R/Python/C++
  • Team player with strong communication skills, verbal as well as written
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