Model Validation Contractor in New York, NY at Eliassen Group

Date Posted: 3/5/2021

Job Snapshot

  • Employee Type:
    Contractor
  • Location:
    New York, NY
  • Job Type:
  • Experience:
    Not Specified
  • Date Posted:
    3/5/2021

Job Description

We have an exciting opportunity for a Model Validation Contractor with our industry-leading client in New York, NY.

We will accept corp to corp or w2 contractors. For our w2 consultants, we offer a great benefits package that includes Medical, Dental, and Vision benefits, 401k with company matching, and life insurance.

Responsibilities:
  • Contribute to highly visible enterprise-wide model validation function in the organization. The models make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis. 
  • Execute enterprise standards for model validation. The incumbent will be responsible for identifying and evaluating model risk and propose controls to manage that risk. This will entail following the scope of a validation effort and executing tests and reviews. 
  • The incumbent will work in three disciplines: 1) OTC Derivative Pricing 2) VaR Modeling and 3) Counter-party Credit Risk Modeling.
  • Execute enterprise standards for model validation by applying techniques and methodologies to test assumptions and review outcomes of a model. Tests and reviews align to the validation scope established by more senior colleagues. 
  • Responsible for identifying and evaluating model risk and proposing controls to manage that risk. Subsequent to the validation of a model, the incumbent is expected to lead projects that automate prior testing, allowing risk to be assessed on a dynamic basis.
  • Required to construct shadow models that run alongside those in production, allowing Model Risk Management to monitor performance in real time.  
Requirements:
  • Master's Degree/PhD in a quantitative discipline, including engineering, mathematics, physics, statistics, econometrics. 
  • Superb quantitative and analytical background with a solid theoretical pricing/VaR Modeling/counter-party credit risk modeling foundation coupled with strong programming, documentation and communications skills. 
  • Must have experience with complex quantitative derivatives pricing/VaR Modeling/counter-party credit risk modeling, numerical analysis, and computational methods using programming languages (such as Python, C/C++, C#, Java, MATLAB) as well as mathematical/statistical software packages. 
  • Must be extremely focused, detail oriented, results oriented and highly productive. 
  • Proven track record of being able to efficiently and effectively conduct independent research, analyze problems, formulate and implement solutions, and produce quality results on time. 
  • Excellent scientific and technical documentation and presentation skills, assertiveness & influencing skills, and the skills to explain abstract theoretical concepts to a non-expert audience in easy-to-understand language.
Job ID: 348656

About Eliassen Group:

Eliassen Group provides strategic talent solutions to drive our clients’ innovation and business results. Leveraging over 30 years of success, our expertise in IT staffing, Agile consulting, creative services, managed services, and life sciences enables us to partner with our clients to execute their business strategy and scale effectively. Headquartered in Reading, MA and with offices from coast to coast, Eliassen Group offers local community presence, deep networks, as well as national reach. For more information, visit http://www.eliassen.com.

Eliassen Group is an Equal Opportunity/Affirmative Action Employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, pregnancy, sexual orientation, gender identity, national origin, age, protected veteran status, or disability status.

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