Model/Analysis/Validation Officer

Model/Analysis/Validation Officer

Requirements

• Master’s degree, or foreign equivalent, in Business Analytics, Economics, Mathematics, Statistics, or a related field
• Three (3) years of experience in the job offered or in a related quantitative occupation performing modeling and forecasting activities in the finance industry
• Three (3) years of experience must include: Performing quantitative review of mathematical and statistical model documentation and testing results utilizing knowledge of calculus, k-means clustering, linear algebra, probability theory and stochastic calculus; Implementing risk models using programming languages including C/C++, Python, R, and MATLAB; Applying quantitative and qualitative data analysis methods including SAS programming, Python, R, and Visual Basic programming language; Automating data visualization, extraction and preprocessing tasks; Designing scenarios for stress testing exercises.

Responsibilities

• Provide analytic and technical support in the areas of scenario design, implementing process automation, forecasting, governance, and control
• Prepare and manage data related to macroeconomic forecasts utilizing Excel, SAS, Python, and R
• Perform feature selection for econometric model, partition data, and interpret regression results
• Assist in the redevelopment of credit spread and volatilities models
• Conduct gap assessments to ensure that material risk factors are appropriately and adequately stressed in Global Systematic Stress Testing scenarios
• Develop and review scenario narratives based on chosen scenario concept and calibrate shocks specific to the ad-hoc risks the firm faces
• Perform tasks related to automation, data quality checks, and calculating benchmarking numbers
• Assist in the preparation and update of Scenario Severity Guidelines for quarterly macroeconomic and Instantaneous Market Shock scenarios
• Design and execute python scripts used to automate the visualization of key drivers used to populate charts and comparisons
• Interpret production output results and ensure forecast results are consistent with scenario assumptions, model assumptions, and statistical and econometric foundation assumptions
• Conduct forecast oversight to ensure historical data and forecast consistency
• Monitor global financial and economic trends and identify and analyze key macro and market risks along with their implications to the global economy and EFT’s forecasts
• Collaborate and liaison between technology and scenario production teams to identify bugs and streamline process flow in the production environment.

Preferred Qualifications

No preferred qualifications provided.