Quantitative Modeling Manager
Posted on Sep 19, 2019 by Request Technology
*this is a permanent full time role*
A prestigious fortune 500 company is on the search for a Quantitative Modeling Manager. This role will be revolved around on the development of new capital models focusing on economic modelling. This is an individual contributor role and they will develop consistent economics capital models. This person needs to have a PHD in statistics, economics, or a related field and also has programming skills with one or more of the following languages: C, C++, Python, R, MATLAB. This person needs market risk and financial modelling experience and they will be designing models from scratch.
- 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.
- PhD in Statistics, Economics or a related quantitative field with at least three years of related post-graduate work experience; or Master degree with at least six years of related experience.
- Demonstrated knowledge of applied probability and one or more of valuation models, term structure models and/or economic capital models
- Programming skills in one or more of C, C++, Python, R, MATLAB or related languages
Key to Success in this role:
- Solid understanding of regulatory market and credit risk capital measurement approaches
- Exceptional quantitative, empirical analysis, and research skills
- Strong knowledge of econometric models, tools and techniques