Financial Model Validation Consultant
800 Boylston St Floor 9 Boston, MA 02199
Position: Financial Model Validation Consultant
Location: Boston, MA
Duration: 3-6 month Contract
Must Haves: Programming skills: R, MATLAB, SAS, Python, SQL. Financial or banking experience and exposure to Model Validation a MUST.
Interview: Must be available to interview on-site
We are seeking a candidate to conduct independent model validations and assist in the validation of market and credit risk models within the Bank. Independent model validation is the process of determining that a model is functioning as expected and is appropriate for its intended use. Validations typically include a review of model documentation, underlying theory, calculations, input data, assumptions, output reports, and process controls. At the end of this project, the individual will have been exposed to the valuation of various fixed income and structured products such as vanilla and cancellable swaps, Mortgage-backed Securities, term structure models and volatility surfaces, prepayment models, and probability of default models.
- This opportunity is ideal for someone seeking to enhance their educational experience and/or to support exploration of a career in Banking or Risk Management.
- Work will be performed on-site. Flexibility with work hours will be considered based on the selected candidates needs and availability.
- Performing validations of the models as described above, including:
- Prepare and conduct financial and functional test cases
- Conduct analyses to test model theories, including data verification and consistency of calculations
- Review model documentation and desk procedures
- Performing other duties as assigned
- Education Progress towards a relevant PhD degree such as Financial Engineering, Statistics, Mathematics or Finance is the preferred educational background. Progress towards a Master’ s degree in the above fields may also be considered.
- Prior work experience in the financial services industry is preferred
- Demonstrable knowledge of financial engineering concepts, numerical methods, Monte Carlo techniques, stochastic processes and fixed income concepts and products (term structure models, volatility surfaces, interest rate swaps, Bermudans, Mortgage-backed Securities)
- Prior experience in predictive modeling such as credit risk modeling will also be considered
- Ability to maintain confidentiality
- Demonstrated strong attention to detail
- Working knowledge of Access, Excel and VBA
- Programming skills in R, MATLAB, SAS, Python, SQL are a plus
- Data analysis using intermediate or advanced Excel functionality or other software
- Knowledge of risk management techniques including Value-at-Risk, regression analysis, and scenario analysis
- Demonstrated organizational and time management skills
- Excellent interpersonal skills