Model/Anlys/Valid Sr Analyst
Citi•Tampa, FL
1d
About The Position
Develop model testing methodologies and conduct rigorous testing including back-testing and stress testing. Implement the prototype of mathematical framework that can be used in new testing approaches. Analyze testing methodologies and provide model reviewers with a comprehensive explanation of the test results for validation. Develop a quantitative library for models used in counterparty credit risk. Develop object-oriented codebase for calibration, simulation, pricing, margin, and testing.
Responsibilities
- Develop model testing methodologies
- Conduct rigorous testing including back-testing and stress testing
- Implement the prototype of mathematical framework that can be used in new testing approaches
- Analyze testing methodologies
- Provide model reviewers with a comprehensive explanation of the test results for validation
- Develop a quantitative library for models used in counterparty credit risk
- Develop object-oriented codebase for calibration, simulation, pricing, margin, and testing
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What This Job Offers
Job Type
Full-time
Career Level
Mid Level
Education Level
No Education Listed
