Quantitative Analytics and Model Consultant Senior - Capital Markets Models
Three PNC Plaza (PAA46), United States
USD 80K-209K Senior-level Full Time
Tasks
- Assess model assumptions
- Assess model data quality
- Communicate validation results to stakeholders
- Evaluate model strengths and limitations
- Measure model risks using quantitative techniques
- Perform independent model review
- Prepare model validation reports
- Run performance testing
- Validate counterparty credit risk models
- Validate derivatives pricing models
- Validate value at risk models
Perks/Benefits
- 401k match
- Dental insurance
- Health insurance
- Paid time off
- Parental leave
- Vision insurance
- Wellness program
Skills/Tech-stack
Counterparty Credit | Counterparty Credit Risk | Credit Risk | Credit Valuation Adjustment | Credit valuation | Derivatives pricing | Funding Valuation Adjustment | Interest Rate | Interest rate models | Model Validation | Performance Testing | Potential Future Exposure | Python | QuantLib | Risk Management | Stochastic Calculus | Term structure | Term structure models | Valuation Adjustment | Value-at-Risk
Education
Regions
Countries
States
Cities
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