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Quantitative/Capital Modeling Manager

Posted on Aug 21, 2019 by Request Technology - Kyle Honn

Virginia, VA
IT
Immediate Start
$150k - $170k Annual
Full-Time

Quantitative/Capital Modeling Manager

Responsibilities

  • Develop consistent economic capital models that can be applied to the financial instruments currently managed by I&CM. These models must incorporate economic capital best practices while simultaneously accounting for the unique characteristics and risks of each financial instrument.
  • Work with the I&CM model owners whose models are leveraged in the estimation of economic capital.
  • Work with the I&CM Financial Engineering team to ensure successful implementation of economic capital models in valuation tools used by portfolio managers and other economic capital model users.
  • Collaborate with the 1st line Model Governance team in I&CM to ensure that economic capital models adhere to Company's model governance standards. Most important, work with the 1st line Model Quality Assurance team to develop an effective challenge to all proposed economic capital models.
  • Communicate economic capital modelling approaches (including their limitations and assumptions) to the economic capital model users such as portfolio managers and senior management within I&CM to guarantee (a) that I&CM stakeholders fully understand the rational for economic capital proposals and (b) that all relevant characteristics of each financial instrument are captured appropriate by proposed economic capital models.
  • Act as an advisor to subordinates to meet schedules and/or resolve technical problems. Often must lead a cooperative effort among members of a project team.

Qualifications

  • Master's or PhD in Statistics, Economics or a related quantitative field
  • 3+ years of work experience in the financial industry
  • Solid knowledge of applied probability and one or more of valuation models, term structure models and/or economic capital models
  • Solid skills with C, C++, Python, R, MATLAB or similar languages
  • Solid understanding of regulatory market and credit risk capital measurement approaches
  • Solid quantitative, empirical analysis, and research skills
  • Strong knowledge of econometric models, tools and techniques

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Reference: 747649649

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