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Quantitative model auditor


  • Company_icon Exact Solutions Kft.
  • Location_icon Budapest
  • Mentés
  • Az álláshirdetés 9 napja lett aktiválva
Partner

Our partner is a global financial services firm providing banking, securities, investment management and wealth management services

Description

The area, as part of the firm’s Internal Audit Department, provides an independent model audit control service for most of the firm’s pricing and regulatory market, operational and credit risk models

Responsibilities:
  • Carrying out detailed quantitative audit of pricing and risk models
  • Verification of closure of any issues identified by US Federal Regulators or UK regulators (PRA)
  • 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 (OpenPages)
  • Tracking and closing technical findings resulting from model audits
Requirements:
  • MSC in a quantitative discipline
  • Advanced mathematical and software modeling skills are mandatory (as QAG performs independent software replication of the quantitative components of risk models as a central element of the validation effort)
  • Strong interpersonal skills in order to interact confidently with Internal Audit and MRD 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
Skills Desired:
  • Ph.D. in a quantitative discipline
  • Programming skills in at least one high level modeling language such as MatLab, Mathematica, FinCad, S+ or R
  • Knowledge of financial markets, financial mathematics, industry best practice risk modelling 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
Helyek Budapest
Kategória IT / Informatika
Minimális tapasztalat Tapasztalat nem szükséges
Aktiválás időpontja 2018.10.11.
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