Model Validation Quant – Market Risk and Counterparty Credit Risk – Multiple Positions (NYC / Tampa FL)
- We are looking for model validation quants for the Market Risk and Counterparty Credit Risk validation team, with focus areas including Market Risk (e.g. Fundamental Review of Trading Book), Counterparty Credit Risk, Initial Margin (e.g. SIMM), Comprehensive Capital Analysis and Review (CCAR), Internal Capital Adequacy Assessment Process (ICAAP), Economic Risk Capital, etc. The validation covers both technical and functional aspects, including model assumptions, conceptual soundness, mathematical formulation, model calibration, and model performance, as well as the functional assessment of using the model for regulatory and business applications. Job responsibilities include reviewing models and identifying shortcomings development documents, performing validation tests, discussing findings with senior stakeholders, writing validation reports, and managing model risk on an ongoing basis.