Quantitative Analytics and Model Consultant Senior - Capital Markets Models
Three PNC Plaza (PAA46), United States
USD 80K-209K Senior-level Full Time
Tasks
- Assess data quality and integrity
- Assess model design and implementation
- Assess theoretical model assumptions
- Ensure regulatory compliance documentation
- Evaluate model risk strengths and limitations
- Independently review capital markets models
- Perform quantitative model testing
- Prepare model validation reports
- Validate counterparty credit risk models
- Validate derivatives pricing models
- Validate value at risk models
Perks/Benefits
- 401k match
- Dental coverage
- Disability coverage
- Educational assistance
- Health coverage
- Life insurance
- Paid time off
- Parental leave
- Pension plan
- Vision coverage
- Wellness program
Skills/Tech-stack
Counterparty Credit | Counterparty Credit Risk | Credit Risk | Credit Valuation Adjustment | Credit valuation | Data Quality | Derivatives pricing | Funding Valuation Adjustment | Interest Rate | Interest rate modeling | Model Validation | Performance Testing | Potential Future Exposure | Python | QuantLib | Quantitative Analysis | Rate modeling | Structure modeling | Term structure | Term structure modeling | Valuation Adjustment | Value-at-Risk
Education
Regions
Countries
States
Cities
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