- Contributing to model validation projects, in an analytic capacity
- Understanding business processes and portfolios associated with model use, and the nature of model use within those processes
- Assessing the methodologies and processes used by modeling teams to develop and manage their models, and identifying potential risk and the associated materiality of the risk
- Benchmarking model methodologies and performance by specifying and managing the development of alternative models
- Solving problems with limited data and making conclusions with analytical justifications
- Providing constructive and actionable solutions to model issues identified
- Researching industry practices related to model methodologies
- Documenting validation processes and results
- Complying with the company's model policy and regulatory requirements
- Communicating validation results to management, model owners, regulators, and auditors
- 1+ years of experience with Capital Markets models, such as Portfolio Valuation (fixed income, loans, and derivates), Market Risk management, Asset Liability management, Mortgage or Asset-backed securities, and prepayment or loss modeling.
- Experience in fixed income and derivatives pricing and risk methodologies, or econometrics (strong knowledge of multivariate distributions and time series analysis).
- Excellent oral and written communication skills.
- Programming languages (Python, Matlab, VBA, or C++)
- Advanced degree (PhD or MS) in a quantitative discipline (e.g., statistics, physics, math)
For immediate consideration, please forward resume and contact details to: firstname.lastname@example.org
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