New York Data & Analytics – Model Risk Experienced Senior Consultant

Protiviti Published: 29th June 2017
Location
New York, United States
Job Type
Category

Description

Protiviti’s Model Risk professionals help management and boards of directors understand the value – and limitations – of their models so they can make confident business decisions, advance business strategies and achieve regulatory compliance.

Models are simplified and idealized representations of the real world and are prone to errors in some cases. Further, because models are driven by assumptions and finite data inputs and then interpreted by people, model risk is inescapable. The use and reliance on quantitative models creates the need to consider the degree to which model risks are understood, monitored and managed. Regulators mandate model validation under such pronouncements as OCC 2000-16, Basel II and Solvency II. Other stakeholders, such as auditors, investors and rating agencies, are also demanding improved governance over the ever-expanding inventory of quantitative models.

Our Model Risk team brings Ph.D.-level “quant” experience to developing and validating all types of quantitative models, including asset-liability management, credit risk, economic capital, market risk, pricing and operational risk models. Our independent, holistic validation process helps control model risk, prevents losses associated with model risk and enhances key stakeholders' understanding of models. We also help organizations manage their portfolio of model risks by assessing, designing and implementing model governance programs. We can develop customized quantitative models, refine and calibrate existing models, and design stress testing and scenario analysis programs to supplement existing analytics.

Overall Responsibilities:

Our consultants are responsible for execution on client engagements and maintaining a strong relationship with senior client personnel.  Consultants must have a solid understanding of their client’s business and be able to demonstrate technical competence in their product group and industry.  Consultants ensure quality and satisfaction on engagements and must be able to clearly articulate the value drivers of our business.  Additionally, they  are also responsible for developing opportunities both at existing clients and new clients and for job economics such as ensuring timely close and billing of projects.

Specific Responsibilities:

  • Ability to review, validate, or develop models related to one of more of the following: market, credit, operational, liquidity risk capital, ERM, insurance models, stress testing, Basel 2 and Solvency 2 compliance
  • Assessing business strategies and related risk/control infrastructures
  • Evaluating, developing, or implementing credit and market risk measurement tools
  • Reviewing or developing derivative and capital market instrument pricing
  • Conducting operational risk assessments and event data accumulation
  • Advisory and methodological support for the quantification or operational risks
  • Performing underwriting due diligence, claims analysis, product design and pricing studies for non-traditional insurance products
  • Identifies potential sales opportunities with existing clients
  • Demonstrates ability to add valuable and creative suggestions to the proposal development process
  • Demonstrates ability to recognize risk to Protiviti with potential clients and advise appropriately
  • Demonstrates the ability to discuss technical and industry trends and the related solutions
  • Develops expertise in specific technical areas or industries
  • Contributes to employee development by actively mentoring employees, creating development opportunities, and initiating and conducting training
  • Effectively plans, budgets and manages client engagements
  • Manages engagement economics (e.g., inventory, receivables, pricing, contribution, etc.) in line with Protiviti goals
  • Effectively builds and manages client relationships
  • Delivers specific product solutions to clients
  • Adds value by identifying client expectations and then exceeding mutually agreed-upon objectives
  • Identifies opportunities to integrate product solutions and resources to optimize client service
  • Assists engagement leadership in managing engagement profitability and managing engagement risk

General Knowledge

  • Theoretical understanding of financial math, financial economics, statistics, and/or insurance modeling
  • Thorough knowledge in one or more of the following areas:  derivatives pricing, interest rate modeling, Value-at-Risk, asset/liability management, and credit modeling
  • Prior management and direct supervisory experience in a team environment
  • Must work well in a team-oriented environment as well as independently
  • Must work creatively and analytically in a problem-solving environment
  • Demonstrated excellent leadership and interpersonal skills
  • Demonstrated advanced written and verbal communication skills
  • Must have ability to multi-task
  • Excellent project management skills
  • Excellent client relationship skills
  • Excellent time management skills
  • Demonstrated mentoring and people development skills
  • Must be able to handle highly confidential information in a strictly professional manner
  • Must be able to maintain professional demeanor in times of high stress

Required Technical Knowledge

  • Strong programming experience (S+, Visual Basic, C/C++, SAS)
  • Demonstrated skills utilizing high level computations mathematic skills inclusive of finite difference, Monte Carol methods
  • Advance knowledge of Stochastic Calculus, Brownian Motion and PDE Modeling
  • Graduate degree in Finance, Economics, Financial Engineering, Statistics, Applied Math or equivalent
  • PhD strongly preferred
  • Professional Certification such as FRM, CFA, CPCU) strongly preferred
  • “Big 4” or other leading consulting experience preferred

Travel

  • Travel throughout the month frequently required based on client requests/commitments
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