Basel III Market Risk Capital Model Validation
- Employer
- Ashton Lane Group
- Location
- New York, USA
- Salary
- Competitive Base & Bonus
- Closing date
- Sep 27, 2020
View more
- Job Function
- Other
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
You need to sign in or create an account to save a job.
Responsibilities:
Requirements:
For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com
Ashton Lane Group is a boutique executive recruitment firm serving the Banking, Insurance, and Alternative Investment sectors. For the latest opportunities, visit www.AshtonLaneGroup.com
Ashton Lane Group® "A trusted advisor throughout your career"
- Responsible for leading the team ensuring the accuracy and robustness of the firm's key VaR, PFE and CVA models
- Plan and lead projects to assess soundness of the implementation, modeling approaches and business assumptions of key models used for Market Risk Management, particularly Basel III Regulatory Capital.
- Independently research, identify and prototype industry best modeling practices.
- Contribute to the development and maintenance of enterprise-wide policies and procedures for validating models in accordance with FRB 11/7 (OCC 2011-12)
- Interact with the business managers and developers
- Present validation results to senior management
- Coach and mentor junior staff
Requirements:
- 5+ years of experience as a user, developer or validation of interest rate, market risk or counterparty credit risk calculation methodologies
- Understanding of financial asset valuation principles (loans, securities, and derivatives) as well as market risk analytics
- Thorough understanding of the relevance of the data utilized, the models' conceptual framework, and how the models' output is in ultimately used in making business decisions
- Familiarity with US Basel III Regulations
- CFA (Chartered Financial Analyst) or FRM (Financial Risk Manager)
- Strong communication skills
- Doctorate and/or Master's degree in a quantitative discipline (e.g., statistics, physics, math)
For immediate consideration, please forward resume and contact details to: info@ashtonlanegroup.com
Ashton Lane Group is a boutique executive recruitment firm serving the Banking, Insurance, and Alternative Investment sectors. For the latest opportunities, visit www.AshtonLaneGroup.com
Ashton Lane Group® "A trusted advisor throughout your career"
You need to sign in or create an account to save a job.
Sign in to create job alerts
Sign in or create an account to start creating job alerts and receive personalised job recommendations straight to your inbox.
Create alert