Quantitative Analyst, Model Validation

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Date: Nov 25, 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 responsible for validating asset management, financial, capital, stress testing and machine learning models. Reporting to the Lead of Asset Management Model Validation, the Quantitative Analyst in Model Validation will contribute to assessing aggregate model risk and identifying potential and emerging model risks across the company. In addition, she/he will assist the Model Risk Management Team in ensuring that model risk policies and standards are followed across the company.

 

Responsibilities:
• Execution of independent validations of models based on internal Model Risk Management policy and procedures, regulatory guidance, and industry leading practices
• Plan validation work to incorporate evaluation of conceptual soundness & modeling methodology, model assumptions and weaknesses, data relevance and completeness, and outcome analysis
• Review and complete model validation reports ensuring that they meet the Model Risk team’s internal standards, based on methodological evaluation of the model, performance testing, sensitivity analysis, testing of assumptions and data reviews
• Communication of findings and recommendations from model validation reports to model owners and model users, as applicable
• Presentation of findings to Senior Management and Model Risk Committee, as appropriate
• Building of benchmark and test models used in model validation
• Contribute to monitoring model validation findings and evaluating remediation actions
• Collaborate with Model Risk Governance to ensure that model governance and standards are adhered to firm-wide


Qualifications:
• M.S. or advanced degree in mathematics, statistics, physics or other quantitative discipline
• Minimum 3 years of experience in model validation or model development in banking, insurance or consulting
• Team-oriented with a strong sense of ownership and accountability
• Strong interpersonal and relationship management skills
• Solid quantitative risk assessment skills
• Familiarity with model documentation requirements that meet regulatory expectations
• Strong verbal and written communication skills
• Experience with both banking and insurance institutions a plus
• Experience with at least one of the following: R, Python, C++

 

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: 85000

 

 

 


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