Quantitative Specialist

Description: The Quantitative Specialist will join the model review team in the OTC derivatives department to assist NFA in approving swap dealers' internal capital and margin models, as well as provide subject matter expertise on quantitative risk management issues, such as capital and margin requirements, collateral disputes and other related topics.

Duties/Responsibilities:

  • Evaluate Member firms' proposals related to capital, margin, risk and pricing models submitted to NFA for approval.
  • Review technical documentation submitted by Member firms and outline model risk framework that includes assessment of model's conceptual soundness, assumptions and limitations, development and implementation of the model and its governance.
  • Perform review and analysis of submitted for approval models, taking into consideration input data quality, model performance testing, output reporting in accordance with best model risk management practices.
  • Appraise materiality of model assumptions and limitations and recommend improvements in model design, implementation, output reporting, documentation and governance.
  • Work with Member firms to assess their compliance with regulatory requirements and adherence to industry best practices for the implementation and use of risk models, governance and risk management frameworks, based on industry standards and the riskiness and complexity of the firm's business activities.
  • Evaluate and test model changes upon notification by Member firms.
  • Update documentation and reconfirm model approval.
  • Assist in the ongoing monitoring of Members' use of approved models as a subject matter expert.
  • Provide subject matter expertise on various issues related to Quantitative Risk Management.

Requirements:

  • Five or more years of experience at a financial institution, commodity or energy firm or regulatory agency;
  • Advanced degree in quantitative field (mathematics, physics, statistics, economics, finance, etc.);
  • Knowledge of complex algorithms and mathematical concepts required;
  • Hands-on experience with advanced mathematic and statistical techniques;
  • Proficiency in any programming or scripting language (Matlab, Python, etc.);
  • Detailed knowledge of OTC derivatives, underlying products and markets, pricing and risk models and valuation methods;
  • Knowledge of the statistical tools and techniques used in risk management;
  • Ability to quickly identify and quantify levels of risk;
  • Ability to work independently and in a team with minimal guidance from managers;
  • Ability to interact with quants, model validators, risk managers and traders on various levels at a range of financial and non-financial institutions;
  • Strong interpersonal, verbal and written communication skills;
  • Familiarity with Dodd-Frank regulations a plus; and
  • Some travel required.

Location: New York



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