Manager, Data & Analytics - Model Rsk
Company: Protiviti Inc.
Location: New York, NY
Posted on: May 15, 2018
Job Description:
Position: Manager, Data & Analytics-Model Risk (New York,
NY) Protiviti is a global consulting firm that helps companies
solve problems in finance, technology, operations, governance, risk
and internal audit. Through our network of more than 70 offices in
over 20 countries, we have served more than 35 percent of FORTUNE® 1000
and Global 500 companies. We also work with smaller, growing
companies, including those looking to go public, as well as with
government agencies. Protiviti is a wholly owned subsidiary of Robert Half
International Inc. (NYSE: RHI). Founded in 1948, Robert Half International is a
member of the S&P 500 index. Duties: Review, validate and develop quantitative models related
to market, credit, operational, liquidity risk capital, ERM,
insurance models, stress testing, Basel 2, and Solvency 2 compliance.
Develop and validate models in order to identify areas of risk. Evaluate,
develop, and implement credit and market risk measurement tools.
Conduct operational risk assessments and accumulate event data. Provide
advisory and methodological support for quantification and operational
risks. Recognize potential client risk and communicate identified
risks. Research technical and industry trends and recommend risk
management solutions. Deliver specific product solutions to clients. Review
work product of Consultants/Senior Consultants, including
reports, presentation decks, code and analysis documents. Oversee client
status updates. Assist in sales/client development and aid in
preparation of collateral. Requirements: Master’s degree (or foreign equivalent) in
Financial Engineering, Quantitative Finance, Statistics, Applied
Mathematics, or related analytical field and two (2) years of experience
performing quantitative analysis and multifactor modeling. One year of experience must include: • Performing derivative pricing, including estimating the
fair value of derivative contracts, and equity price modeling; • Performing Value At Risk calculations to measure and
quantify the level of financial risk within a firm or investment
portfolio; • Programming using MATLAB, R, Python, SQL and Excel for
building model frameworks, prototypes, and data cleansing, testing,
and calculations; • Performing model risk development, validation, and governance
in accordance with SR-11-7, SR-15-18, and SR-15-19 guidelines; • Performing financial risk analysis including market risk
and credit risk for derivative pricing, interest rate pricing, and
portfolio pricing; • Performing reporting and visualization of model
validations, data findings, and risk assessments using Excel and R, and
reporting findings to clients or internal managers. ** Expertise may be gained during graduate program. Submit resume to Job Code MDA2018, Dana S. Portnoy, Protiviti,
125 High Street, 17th Floor, Oliver Street Tower, Boston, MA 02110
Keywords: Protiviti Inc., Meriden , Manager, Data & Analytics - Model Rsk, Other , New York, NY, Connecticut