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Quantitative Model Validation Expert

2 months ago

Washington, Washington, D.C., United States Analytic Recruiting Inc. Full time
Job Description

**Job Summary:**

We are seeking a highly skilled Quantitative Model Validation Expert to join our team at Analytic Recruiting Inc. as a Mortgage Prepayment Modeling Specialist. In this role, you will be responsible for providing independent expert opinions on models, analytics, numerical methods, and risk metrics.

Key Responsibilities:

  • **Lead Independent Model Review and Validation:**
  • Lead independent model review and validation process for proprietary and third-party financial valuation models.
  • **Quantitative Analysis:**
  • Lead quantitative analysis in support of the risk oversight, risk management, and modeling functions.
  • **Model Performance Assessment:**
  • Design proper statistical and econometric tests to assess model performance.
  • **Model Risk Management:**
  • Design processes for measuring and controlling model risk.
  • **Model Validation and Review:**
  • Plan and lead substantive reviews and validation of models used for in-market and credit risk processes. Includes determining and conducting analysis of the model theory and structure, statistical estimation techniques, accuracy of implementation, and appropriateness for the business application.
  • **Risk Metrics and Reporting:**
  • Design and develop procedures for measuring and monitoring model performance, by creating risk metrics, thresholds, and reports to determine whether model performance is consistent with business objectives.
  • **Quantitative Analysis Support:**
  • Lead quantitative analysis in support of the risk oversight, risk management, and modeling functions.
  • **Risk and Return Analysis:**
  • Design and develop methods for measuring risk and return relationships, such as value at risk and stress testing.
  • **Communication and Stakeholder Management:**
  • Communication of material related to model reviews and analyses to senior management, technical staff, and other internal and external stakeholders.
  • **Industry Knowledge and Education:**
  • Understand current developments in models, financial theory, and industry practices to assist in the education and development of staff, and ensure that the firm's risk methodologies are consistent with best practice standards.

Requirements:

  • **Experience:**
  • The ideal candidate will have 10+ years of experience working with RMBS, CMO, or ABS securities in a mortgage prepayment modeling capacity.
  • **Education and Skills:**
  • Candidates must have an advanced degree (PhD preferred) in a quantitative field with solid C++ programming skills, broad knowledge of pre-payment models and other fixed income products, experience working with (Algorithmics, Numerix, Polypath, Intex, SAS) and good communications skills.
  • **Industry Knowledge:**
  • This position requires a thorough understanding of the principles of quantitative credit risk modeling for mortgages. The preferred candidate will have a background in mortgage and capital markets related to the valuation of financial instruments, risk management, and/or model validation. Required skills include familiarity with econometric, statistical, and optimization techniques; strong programming skills; and strong communication skills.

Keywords:

Model Validation, Prepayment Modeler, Valuation Models, Financial Modeling, CMBS, RMBS, Model Development