Department: OTC Derivatives
Location: New York, NY
Travel Requirements: Up to 20%
Job ID: 311
Description: The Quantitative Associate works in a team of experienced Model Validators to support NFA's responsibilities in approving Member Swap Entities' internal capital and margin models. The Quantitative Associate also provides technical expertise on capital, margin and other matters relating to quantitative risk management and collateral disputes.
- Review technical papers submitted to NFA for approval by Members on capital, margin and pricing models.
- Perform validation on conceptual model assessment and implementation, input data validation, back testing and benchmark testing.
- Identify model limitations and evaluate their materiality.
- Assist the team in providing guidance to Members regarding improvements in model design, implementation, output reporting, documentation and governance.
- Evaluate model changes upon notification by Members, perform testing on the changes, update the documentation and reconfirm model approval.
- Assist in the ongoing monitoring of Members' use of approved capital and margin models as a technical expert and provide ongoing assistance to the risk management team with due diligence inquiries involving collateral disputes.
- Two or more years of experience in quantitative areas, model validation, risk management at a financial institution, commodity or energy firm or regulatory agency
- Advanced degree in a quantitative field (e.g. mathematical finance, mathematics, statistics or related fields)
- Detailed knowledge of OTC derivatives and underlying markets, pricing models, sensitivities, valuation methods and risk management measures
- Strong team player, strong interpersonal and oral and written communication skills
- Familiarity with capital requirements and model risk management preferred
- Familiarity with Dodd-Frank regulations a plus
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