Manager, Risk Analytics Modeling
- Chicago, IL
Your Opportunity Model Risk Oversight is a strategic function within the broader Corporate Risk Management umbrella that utilizes a broad spectrum of models to create innovative products for our clients, and to prudently manage our financial risk using sophisticated quantitative approaches. The Model Risk Oversight team plays a key role in identifying, reviewing, and monitoring all the models at the company.
We are hiring a quantitative analyst to conduct model validations and make additional contributions to the Model Risk Oversight team. More seasoned applicants may qualify for the senior analyst position. The analyst will participate in model governance activities in several business areas including statistical classification, financial derivatives, and investment management. The analyst will need strong quantitative aptitude and a good understanding of how financial models are used in business contexts. Prior experience with financial derivatives and model-driven trading of financial instruments is highly desirable.
This will be an individual contributor role with no direct reports. Reports to the Sr. Team Manager.
What you are good at
The job responsibilities will include, but not be limited to:
- Performing model validations following guidelines based on SR 11-7, to include an assessment of model usage, documentation, conceptual soundness,
- Presenting work through formal model validation reports, as well as through presentations to model owners and senior management;
- Working effectively as a team member with other quantitative analysts at the company, as well as with external consultants;
- Evaluating model performance monitoring reports and conducting model annual reviews.
What you have
Required skills and qualifications:
- Advanced degree in a quantitative discipline (financial engineering, statistics, mathematics, physics, economics).
- 2-5+ years of work experience in quantitative modeling.
- Advanced skill with one or more analytical tools, such as SAS, R, MATLAB, Python, EViews, etc.
- Experience with derivative securities and quantitative finance approaches such as Monte Carlo simulation
- Strong oral and written communication skills.
Preferred skills and qualifications:
- Experience working with pricing and risk models related to financial derivative products (options, futures).
- Experience working with investment management models, including model-driven trading of financial instruments.
- Ph.D. in a quantitative discipline (statistics, mathematics, physics, economics).
- Experience working as a quant in the financial industry.
- CFA and/or FRM certification.
- Knowledge of model governance processes and regulatory requirements for large US banks
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