Investment Associate (Model Risk Management)

3+ months agoNewark, NJ

The mission of Enterprise Risk Management (ERM) is to ensure that Prudential has a comprehensive framework for understanding the risks embedded in and across its businesses, so that the company can manage these risks effectively, evaluate current and future risk challenges and opportunities, and enhance shareholder value.
An integral part of the ERM organization is the Model Risk Management Group (MRMG), which includes two teams: (1) Model Risk Management and (2) Model Risk Control Office. The primary objectives of MRMG are to effectively challenge, manage and mitigate model risks, and maintain model inventory, risk assessment and model control standards.

Primary Responsibilities

This position will be part of the Model Risk Management team, primarily responsible for independent model reviews and testing of models.

The incumbent's level of experience and subject matter expertise will determine his or her level of leadership and involvement relative to the following responsibilities:

Support model review work including the following activities:

Research relevant regulatory frameworks, underlying products, assumptions and methodologies

Review model documentation, evaluate risks and propose review strategies

Perform model output analytics and might build independent challenger models and other analytical tools as needed

Create a comprehensive model review report

Be exposed to multiple lines of business and model types: pricing, financial reporting, capital, forecasting and others

Work closely with others, both inside and outside the team

This position may also help with the monitoring of model control standards, model risk assessments, and model issue remediation in partnership with the Model Risk Control Office.

• 2 years of experience in Quantitative Finance or Investments
• M.S. in Quantitative fields such as: Financial Engineering, or related fields like Mathematical Finance, Applied Mathematics, Financial Econometrics, Physics, or other Engineering. Graduate degree is preferred.
• Excellent mathematical, analytical problem-solving skills.
• Knowledge of valuation for financial derivatives, general knowledge of Asset Liability Management (ALM)
• Strong technical skills, with hands-on experience in working environment of programming languages such as: Python, VBA. Experience with C , Matlab, or any database is also preferred
• Experience in model development, implementation and/or validation is a plus
• Experience in financial services industry (bank, insurance company, hedge fund, etc.)
• Strong communication (both written and oral) skills, including the ability to communicate complex issues to nontechnical persons
• Ability to build strong relationships and collaborate with others

Job ID: Prudential-MOD0005M

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