Senior Quantitative Analyst in Model Validation - Asset Management Models

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Date: Jul 4, 2019

Location: New York, NY, US

Company: New York Life Insurance Co

 

A career at New York Life offers many opportunities. To be part of a growing and successful business. To reach your full potential, whatever your specialty. Above all, to make a difference in the world by helping people achieve financial security. It’s a career journey you can be proud of, and you’ll find plenty of support along the way. Our development programs range from skill-building to management training, and we value our diverse and inclusive workplace where all voices can be heard. 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 service, supported by our Foundation. It all adds up to a rewarding career at a company where doing right by our customers is part of who we are, as a mutual company without outside shareholders. 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.

 

The Senior Quantitative Analyst in Model Validation will be responsible for independently assessing model risk across the company’s investment portfolio and executing validation of the asset models of the company.  Reporting to the Lead of Model Validation, the Senior Quantitative Analyst will develop appropriate metrics for measuring model risk of the company’s general and separate accounts and the Asset Management business. In this capacity, the Senior Quantitative Analyst will ensure that policies and standards are adhered to and will contribute in assessing firm-wide aggregate model risk as well as identifying potential and emerging risks in the company’s investment portfolio.

 

Description of Responsibilities

  • Risk assess models of asset portfolios
  • Execute independent validation for asset models based on internal Model Risk Management policy and procedures, regulatory guidance, and the industry’s leading practices
  • Conduct model assessment to evaluate conceptual soundness, quality of modeling methodology, model assumptions and weaknesses, data relevancy and completeness, and outcome analysis
  • Review and complete model validation reports ensuring that they meet Model Risk Management internal standards, based on methodological evaluation of the model, performance testing, sensitivity analysis and testing of assumptions, and data reviews
  • Communicate findings and recommendations from model validation reports to model owners and model users, as applicable
  • Present findings to Senior Management and Model Risk Committee, as appropriate
  • Contribute to the effort of building benchmark and test models used in model validation team
  • Contribute in monitoring model validation findings and evaluating remediation actions
  • Collaborate with the Lead of Model Risk Governance to ensure that model governance and standards are appropriate for the company’s risk profile and they are adhered to firm-wide

 

Requirements

  • M.Sc. or advanced degree in engineering, econometrics, statistics or other quantitative discipline
  • Minimum 3 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
  • Team-oriented with a strong sense of ownership and accountability
  • Strong interpersonal and time management skills
  • Familiarity with model documentation requirements that meet industry standards and regulatory expectations
  • Experience with at least one of the following numerical and statistical tools: R, Python, MATLAB, SAS, S-Plus, C++

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EOE M/F/D/V

 

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