Contract - Model Risk Management

Contract - Model Risk Management

Rate: Open

Location: Chicago, IL

Hybrid Schedule

*Contract to hire preferred*

Qualifications

• 6+ years of related experience as a goal of those to include.
• 2 or more years 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 or R/Splus desirable
• Advanced degree in mathematical finance, econometrics, mathematics, physics, chemistry or similar discipline or science with quantitative focus
• Quantitative finance at the level of Measuring Market Risk by Kevin Dowd, or similar

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 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