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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
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++
SF:EF-MD1 #LI-MD1 EOE M/F/D/V
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About New York Life Insurance Company
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