Associate Principal, Model Risk Management, Validation
Core
Analyze model risk across pricing, margin, clearing fund, stress testing, and liquidity models; design benchmark models and testing tools; conduct independent reviews and performance testing.
Role type
Associate Principal, Model Risk Management (Validation)
Builds
Model validation frameworks, benchmark models, and testing tools for financial risk oversight.
Domain
Financial Services / Quantitative Risk Management
Deliverable
production ML models
Required skills
RStudio, SQuirrel SQL Client, Monte Carlo simulation, Expected Shortfall analysis, collateral haircut validation, option pricing validation, margin/stress testing/liquidity risk methodologies, Vega liquidation charge calibration, cryptocurrency analysis, portfolio concentration analysis, unit testing automation, model code review.
Preferred skills
None stated.
Technologies
RStudio, SQuirrel SQL Client
Responsibilities
Conduct independent reviews to assess model risk and associated remediations; Design and implement benchmark models and model-testing tools; Perform model performance testing including portfolio back-testing; Review implementation of models and systems focusing on requirement verification; Quantify impact of withdrawing excess collateral on Expected Shortfall values; Evaluate return distributions and simulated Monte Carlo scenarios of option-based ETFs; Review Vega liquidation charge calibration changes for cryptocurrency; Construct analyses on topics related to cryptocurrency, option-based ETFs, collateral, and portfolio concentration; Conduct quality assurance testing on the model library including constructing test cases and automating unit testing; Participate in model code reviews, model release testing, and production support.
Seniority
Associate Principal, hands-on IC
