Senior Model Validation Quantitative Analyst - Asset Management

APPLY NOW »

Date: Mar 29, 2021

Location: New York, NY, US

Company: New York Life Insurance Co

 

When you join New York Life, you’re joining a company that values development, career growth, collaboration, innovation, and diversity & inclusion. We want employees to feel proud about being part of a company that is committed to doing the right thing. Through various resources and programs, you can grow your career while developing personally and professionally.

 

 

 

The Quantitative Analyst in Model Validation will be primarily responsible for independently validating models used in the investment portfolio of the company, including fixed income, structured products, real estate, equities etc. Reporting to the Lead of Asset Management Model Validation, the Quantitative Analyst will participate in developing appropriate metrics for measuring the risk of models in use by the asset management business of the company. In this capacity, the Quantitative Analyst will ensure that policies and standards are adhered to. In collaboration with members of the validation team, the Quantitative Analyst will also play a key role in supporting the company’s efforts in applying data science and machine learning. 

 

Description of Responsibilities

  • Validate models and approaches used for investment portfolio models, including structured products, real state, fixed income, and equity investments
  • Participate in validation and risk assessment of models using advanced data science techniques, including new innovative machine learning approaches
  • Execute independent validation compliant with Model Risk Management policies and procedures, regulatory guidance and industry leading practices, including evaluating conceptual soundness, quality of modeling methodology, model limitations, data quality, and on-going monitoring
  • Draft comprehensive validation documentation for models validated
  • Communicate model validation conclusions to relevant stakeholders and evaluate model remediation actions
  • Collaborate with the Model Risk Governance team to ensure that model risk policies and standards are adhered to by business units

 

Requirements

  • M.Sc. or other advanced degree in computer science, statistics, engineering, econometrics, physics or other quantitative discipline preferred
  • Minimum 8 years of experience in model validation or model development in asset management, banking, insurance or consulting industry
  • Solid quantitative understanding of asset class risk characteristics
  • Experience in investment market risk, finance and regulatory aspects
  • Familiarity with industry-standard model documentation requirements
  • Team-oriented with a strong sense of ownership and accountability
  • Strong interpersonal and time management skills
  • Experience with two of the following numerical and statistical tools: R, Python, MATLAB, SAS, S-Plus, C++
  • Experience with data science analytics and with handling large datasets in Python, R or equivalent is a plus

#LI-MD1

 

Recognized as one of Fortune’s World’s Most Admired Companies, New York Life is committed to improving local communities through a culture of employee giving and volunteerism, supported by our Foundation. We invite you to bring your talents to New York Life, so we can continue to help families and businesses “Be Good At Life.” To learn more, please visit LinkedIn, our Newsroom and the Careers page of www.NewYorkLife.com.

Job Requisition ID: 82807

 

 

 


Job Segment: Quantitative Analyst, Manager, Developer, Equity, Social Media, Data, Management, Technology, Finance, Marketing