Requirements:
- Assist model quants developing or enhancing Risk Capital/Stress Testing models
- Implement model analytics, model libraries/engine/executables and associated analytical tools, using programming languages such as C++, Python, VBA
- Test model performance, implement testing suites for new and existing models, establish automated testing processes and repeated model documentation processes
- Assist testing efforts and support requirements from Model Risk Management, participate in full model development, validation and ongoing performance monitoring cycles
- Partner with Finance and Risk Infrastructure (FRI) and IT to ensure that Risk Capital enhancements are correctly implemented and integrated in the organizations Risk and Finance systems
Qualifications:
- Bachelor and above degree in computer science, mathematics, financial engineering
- 3+ years of experience in an analytics/quantitative programming/implementation roles in a financial institution. Knowledgeable about risk measurement issues in market risk or credit risk a plus. Fewer years of experience will be considered with additional advanced degrees (ex. PhD).
- Knowledge of risk capital and stress testing concepts and issues a plus.
- Strong communicator, self-starter, and team player
- Eagerness & ability to grasp complex analytical or mathematical concepts quickly
- Proficient in C++/C, Python, Excel VBA, Java and/or other programming languages
- Experience with model implementation and integration with technology systems
- Ability to navigate through complex data and infrastructure environment a plus
- Experience with implementing analytical user tools such as what-if calculator in Excel or other UI form a plus
- Experience with database, cloud computing, client-server computing, distributed computing
