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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., Newark , Manager, Data & Analytics - Model Rsk, Other , New York, NY, New Jersey


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