VP Economic Capital Model Validation

Managing the quantitative modeling & analysis for a large commercial bank

Responsibilities:

• Conduct independent validations of key models used by the Treasury group with emphasis on market risk metrics, economic capital and Basel models (Pillar 2).

• Develop a thorough understanding of the models’ theoretical frameworks, implementation, and use in practice to evaluate complex business decision making processes

• Contribute to the development and maintenance of enterprise-wide policies and procedures for validating models in accordance with OCC Bulletin 2011-12 as well as the firm’s policies and procedures.

• Analysis and Presentation of reviews and proposed recommendations, model limitations, and reserving methodologies to senior management.

Requirements:

• 5+ years’ experience of market risk, economic capital or Basel Pillar 2 analysis at a commercial bank, investment bank, or consulting firm

• Strong experience in fixed income and derivatives pricing and risk methodologies, or econometrics (strong knowledge of multivariate distributions and time series analysis)

• Direct experience working with FinCAD, Murex, Polypaths, Reval, QRM and ADCO, or other comparable vendor analytics systems

• Advanced statistical skills especially in the area of hypothesis testing, regression and discriminant analyses   

• Programming languages (Matlab, VBA, or C++), database queries (SQL)

• Advanced degree (PhD or MS) 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, visitwww.AshtonLaneGroup.com