Associate Director, Quantitative Risk Analytics

Develop model prototype to implement methodology or test methodology soundness.,Remediate model issues from internal validation, internal audit, as well as external regulators.,Investigate issues raised by model users on adhoc basis and develop remediation solutions.,Develop and implement performance monitoring framework for VaR models, including backtesting, assessment for model assumption/limitation, benchmarking model, etc.,Conduct model performance monitoring on a regular basis.,Summarize monitoring results into documentations and present results in Model Monitoring Working Group.,Work with local market risk and front office to coordinate and resolve model related issues.,Interact with market data team to ensure the accuracy and completeness of the market data used to support the various models.,Interact with model users and senior management regarding methodology analysis for market risk.,Provide comprehensive explanation of the model results to the risk managers and senior management.

Master's in Financial, Engineering, Statistics/Mathematics/Physics or equivalent.,PhD in Finance, Engineering, Applied Sciences or Economics is a plus.,Good knowledge of regulatory requirements under statistical regression models, market risk models and regulatory rules.,Broad product knowledge across fixed income, equity, and derivative instruments.,Familiarity with securitized product prepayment and default model, interest rate model, and pricing model for securitized product.,Familiarity with U.S. securitized product origination process and secondary trading market, particularly for Agency MBS, MBS Whole Loan, Mortgage Servicing Right, etc.

Master's Degree