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Model Validation- Credit Risk ...
Model validation is the set of processes and activities intended to verify that models are performing as expected, in line with their design objectives and business uses. This includes assessing model risk by reviewing model assumptions, verifying the mathematical formulation, conducting business analyses, and developing similar models to perform statistical testing, and writing validation reports. Job responsibilities include interacting with model developers, risk managers, other staff members, and internal, external, and government auditors. Our validations are done in 2 steps: Interim (or Level 1) validations involve assessing the adequacy of model documentation, conducting minimum statistical testing and re-deriving any formulae, and opining on whether this model seems plausible. Full (or Level 2) validations involve using the documentation as model specification, building our own replica of the model, checking that the implementation was done properly, and conducting full-range model testing including stability and sensitivity analyses, back-testing the model and/or benchmarking with other models or model estimates. The successful applicant will gain a wide exposure to a variety of different products and models across the organization and provides the opportunity to work in an intellectually stimulating environment.
M.S or PhD in a quantitative field such as Applied Statistics, Financial Economics, Mathematics, Physics or Engineering. The individual should have excellent statistical backgrounds and good understanding of Credit Risk, (consumer, Retail, wholesale,residential mortgages, agency/non-agency markets), and prepayment modeling. Prior working experiences in building or validating prepayment/default models with a minimum of five year experiences for a senior position and 2 years for a junior one is necessary. The individuals should have strong programming skills in SAS, R/S+ or Matlab, and the ability to work on large databases and to transform technical research into working models. Team work and commitment, strong communication skills and hard working are a must. Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable.
We will offer a well rounded financial and benefits package the could include relocation and or visa transfer within the continental US