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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., Scranton , Manager, Data & Analytics - Model Rsk, Other , New York, NY, Pennsylvania


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