AddressMBS Modelling role with Evalueserve
Important responsibilities in this role will include:
- Identify, analyze, and resolve issues related to MBS models.
- Collaborate with other teams to ensure compliance with standards.
- Review and validate derivative pricing and market risk models across asset classes.
- Development and Implementation of benchmark models and methodologies in C++, Python, R etc.
- Perform Independent model testing and assess assumptions, limitations, and model framework.
- Develop, Implement, and back-test regulatory models such as IRRBB, FRTB, RNIV and VaR/ES.
- Prepare coherent and comprehensive documentation reports.
- Lead and mentor team of Analysts
- Support model owners on model findings and validation queries
Skills we are looking for:
- At least 4 years of experience in model remediation, model validation, or model development, preferably in the MBS or fixed income domain
- Strong knowledge of MBS products, markets, and valuation methods
- Proficient in programming languages, such as Python, R, C++ or MATLAB, and data analysis tools, such as SQL, Excel, or Tableau
- Excellent communication, presentation, and problem-solving skills
- Ability to work independently and in a team environment.
- Attention to detail and accuracy.
- Self-starter with strong problem-solving skills
- Project management and leadership qualities
