Job Description

Reference # : 17-00819Title : Quantitative Analyst (Basel and Economic Capital Fraud)
Location : New York, NY
Position Type : Direct Placement
Experience Level : Start Date : 01/27/2017
Description
Eclaro International is currently recruiting for a Quantitative Analyst (Basel and Economic Capital Fraud) for one of our financial services clients.

Job Description:


Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in development of new models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in design of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.
Specific Job Description
This position will be responsible for independently conducting model validation and ongoing model risk management activities for capital, operational and compliance models. The incumbent shall possess excellent quantitative/analytic skills and is able to document and communicate model validation and ongoing model review findings with business partners.

RESPONSIBILITIES
? Review and validate capital (Basel and economic capital), operational (fraud, other operational risk and operational volume) and compliance models
? Provide effective challenge on underlying assumptions, theory, data, estimation, implementation and limitations of the model being validated
? Perform independent testing to identify/quantify model risk associated with the model being validated
? Prepare validation report and technical documents for the model being validated
? Work closely with model owners, developers and users with respect to compensating controls of the model and communication of validation outcomes
? Perform annual model reviews, on-going monitoring reviews, Required Actions Items closure
? Provide support for regulatory and audit requests
REQUIREMENTS
? PhD or Masters degree in quantitative fields such as mathematics, statistics or equivalent
? In depth understanding of probability theory and statistical analysis, particularly in probability distribution (including univariate and multivariate), statistical estimation, hypothesis testing, and regression (such as linear and logistic) analysis
? 5+ years of hands-on quantitative modelling or validation experience in capital models or related area
? Strong communication (both written and verbal) and collaboration skills
? Strong programming skills in one or more of the following: SAS, MATLAB, R, Python and C++
? Familiar with SR11-07 and related requirements on model risk

Application Instructions

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