Job Summary
Locations:
Experience:
Keywords / Skills :
Function:
Role:
Industry:
Summary:
Posted On:
Job Ref code:
Job Description
This opportunity is for a quantitative analyst role within the Quant team. The primary function is to perform detailed validation of models from across the teams areas of responsibility.
Validation projects investigate all aspects of the models, covering their assumptions regarding the behavior of different asset classes, performance over different time scales, treatment of different products and risk types and their aggregation and use in the risk capital calculations.
Model validation reviews typically include:
– Participation in working groups addressing modelling issues and the model control environment
– Investigating key aspects of each model under review: the choice of model, its correct implementation and optimal use of the model
– Developing independent modelling for comparison with that under validation
– Reviewing the issues, assumptions and limitations of both the proposed and independent modelling approaches
– Backtesting alternative models to evaluate and compare their performance using historical simulations
– Reviewing findings with colleagues in different groups including model developers, risk managers and traders
– Developing appropriate controls to mitigate for model risk and residual uncertainty
– Documenting the testing performed: theoretical background, modelling issues, assumptions and limitations, testing performed, results and control implications
In conducting the reviews the analysts perform some computationally intensive work, including:
– Developing, maintaining and running test tools to investigate different aspects of the model
– Setting up and running historical backtesting scenarios
– Generating, extracting and structuring risk and value data from Front Office systems
– Implementing numerical algorithms and automating testing processes in VBA and C++
:
testingVBAC++
BLACK TURTLE offers a wide range of services spread across various industries and functions. These services range from executive recruitment to consultancy in devising HR policies to attract and retain the best talent. It includes servicing niche recruitment needs to RPO. We offer multiple solutions under one roof.
BLACK TURTLE is headquartered in Mumbai and has presence across seven cities in the country. It has over 50 consultants spread across with Mumbai being the PDC (Principal Delivery Centre).
BLACK TURTLE offers a wide range of services spread across various industries and functions. These services range from executive recruitment to consultancy in devising HR policies to attract and retain the best talent. It includes servicing niche recruitment needs to RPO. We offer multiple solutions under one roof.
BLACK TURTLE is headquartered in Mumbai and has presence across seven cities in the country. It has over 50 consultants spread across with Mumbai being the PDC (Principal Delivery Centre).
To see all related Jobs. Please CLICK HERE
Analyst/manager/avp - Model Validation/quant -
PlacementFloor.com
PlacementFloor.com is a job portal for the upcoming and latest job opening in almost every sectors. The website automatically picks the recent openings and list them on priority.
Follow @ Twitter | Facebook | Google Plus
No Comment