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Quantitative Model Auditor




Our partner is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. The group, as part of the Internal Audit Department, provides an independent model audit control service for most of the pricing and regulatory market, operational and credit risk models. The team leverages its diverse quantitative skill sets, product knowledge and programming expertise to act as a guardian and approver of key pricing and risk models used for regulatory compliance and managerial decision-making. The major function of the group is auditing (reviewing) both the model and validation methodologies of other quantitative teams responsible for developing and validating the pricing and risk models. The team is responsible for the audit of the model development and validation of methods and procedures. These audits cover the key risk models. Another task is to verify work to remediate regulatory findings. This will involve a review of methodology and testing performed.

  • Carrying out detailed quantitative audit of pricing and risk models
  • Verification of closure of any issues identified by US Federal Regulators or UK regulators
  • Documenting all work performed in a clear, concise, and re-performable manner, uploading all work papers and reports into the Internal Audit work paper system
  • Tracking and closing technical findings resulting from model audits
  • MSC in a quantitative discipline
  • Advanced mathematical and software modeling skills are mandatory (as the team performs independent software replication of the quantitative components of risk models as a central element of the validation effort)
  • Programming skills in at least one high level modeling language such as MatLab, Mathematica, FinCad, S+ or R
  • Strong interpersonal skills in order to interact confidently with Internal Audit, management and risk model developers
  • Ability to effectively challenge the quantitative methodologies and implementation as well as the closure work performed on regulatory findings
  • Ability to work under pressure to tight deadlines
  • Ability to develop strong internal client relationships
  • Ph.D. in a quantitative discipline
  • Experience with compiled or interpretive development languages such C/C++, C#, VBA, or JAVA
  • Knowledge of financial markets, financial mathematics, industry best practice risk modeling methodologies, knowledge of financial products (FI, FX, commodities, equities, derivatives), their pricing models and a basic fluency in stochastic calculus, statistics and Monte Carlo methods
  • 1-3 years of development or validation experience in pricing and/or risk models
Munkavégzés helye Budapest
Kategória IT / Informatika
Minimális tapasztalat Több mint 5 év
Munkaidő tipusa Teljes munkaidő
Régió Budapest
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