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Basel III Market Risk Capital Model Validation

Employer
Ashton Lane Group
Location
New York, USA
Salary
Competitive Base & Bonus
Closing date
Sep 27, 2020

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Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Responsibilities:
  • 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"

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