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Model Validation Analyst

- Consultoria / Asesoría

Project Description
This role is part of Evalueserve’s Risk and Compliance Practice, supporting some of the largest financial institutions in the US and Europe. The role comprises taking on client assignments in support of various model validation, monitoring and implementation teams, as well as supporting Evalueserve in multiple research and innovation projects with regard to the Risk and Compliance model life cycle space as well as advanced analytics for risk management.
Job description
The person will be required to work on one or more of the following Risk and Compliance models for global investment banks:
• Market/Credit/Traded risk models for various asset classes (VaR models, stressed VaR Models, Asset Pricing Models, FRTB Models, Margining Models)
• Credit Methodology models for wholesale, financial institutions (PD/LGD/EAD models, CECL, and counterparty credit risk models)
• Stress testing models as under CCAR (balance sheet forecasting, PPNR, loss forecasting, scenario enrichment modeling, etc.)
• Operational risk models, including AML
Important responsibilities in this role include:
Performing various initial and/or ongoing model validation tasks, as per instructions and guidance from senior quants:
• Running tests and calculating pricing on third-party models/platforms such as Bloomberg MARS, Risk Val, Kynex, and Numerix, etc.
• Writing codes for statistical/mathematical models/financial models for benchmarking and for validation of high-risk models on QuantLib and other libraries
• Reviewing model implementation in production code; performing additional testing
• Performing direct and indirect validation of model calibration
• Conducting model risk analysis, stress testing and other tests under different scenarios
• Drafting a validation report with analysis of test results, a description of the mathematics and other equations underlying the model, as well as a summary of findings, etc.

Model Validation Analyst (Finanzas)
1 Vacante

País de la oferta: CHILE
Ubicación en el extranjero: Viña del Mar


Estudios mínimos Universitario
Requisitos mínimos Skill Set Required
• Sound knowledge of stochastic calculus, as well as statistical and econometric concepts and their applications to risk model development
• Strong knowledge in one or more of the following programming languages: R/SAS, Matlab, Python, SQL programming, C++ ; experience with QuantLib and other open source quant libraries is a plus
• Ability to articulate ideas and make recommendations
• Proficiency in developing and giving presentations
• Strong oral and written communication skills, including the ability to document and present model development processes and analytical results that are suitable for audiences of all technical levels
• Strong analytical and interpersonal skills
• A Master's or Bachelor’s degree in applied quantitative discipline (e.g. Econometrics, Statistics, Financial Mathematics, Physics, or Engineering)
Idiomas Inglés ( Lectura: Nivel avanzado / Escritura: Nivel avanzado / Conversación: Nivel avanzado )


Tipo de contrato Indiferente
Duración Indefinite
Jornada Laboral Full Time

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