Model Validation Manager- Quantitative Risk
Protiviti IncBB - New York, NY

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Protiviti (www.protiviti.com) is a global business consulting and internal audit firm composed of experts specializing in risk and advisory services. The firm helps clients solve problems in finance, operations, technology, litigation, governance, risk, and compliance. Protiviti's highly trained; results-oriented professionals serve clients in the Americas, Asia-Pacific, Europe and the Middle East and provide a unique perspective on a wide range of critical business issues.Protiviti has more than 60 locations worldwide and is a wholly owned subsidiary of Robert Half International Inc. (NYSE symbol: RHI). Founded in 1948, Robert Half International is a member of the S&P 500 index. Model Validation PracticeProtiviti's Model Validation professionals help management and boards of directors understand the value - and limitations - of their models so they can make confident business decisions, advance business strategies and achieve regulatory compliance.Models are simplified and idealized representations of the real world and are prone to errors in some cases. Further, because models are driven by assumptions and finite data inputs and then interpreted by people, model risk is inescapable. The use and reliance on quantitative models creates the need to consider the degree to which model risks are understood, monitored and managed. Regulators mandate model validation under such pronouncements as OCC 2000-16, Basel II and Solvency II. Other stakeholders, such as auditors, investors and rating agencies, are also demanding improved governance over the ever-expanding inventory of quantitative models.Our Model Risk team brings Ph.D.-level "quant' experience to developing and validating all types of quantitative models, including asset-liability management, credit risk, economic capital, market risk, pricing and operational risk models. Our independent, holistic validation process helps control model risk, prevents losses associated with model risk and enhances key stakeholders' understanding of models. We also help organizations manage their portfolio of model risks by assessing, designing and implementing model governance programs. We can develop customized quantitative models, refine and calibrate existing models, and design stress testing and scenario analysis programs to supplement existing analytics. JOB DESCRIPTION OVERALL RESPONSIBILITYSenior Managers are responsible for execution on client engagements and maintaining a strong relationship with senior client personnel. Senior Managers must have a solid understanding of their client's business and be able to demonstrate technical competence in their product group and industry. Senior Managers ensure quality and satisfaction on engagements and must be able to clearly articulate the value drivers of our business. Senior Managers are also responsible for developing opportunities both at existing clients and new clients and for job economics such as ensuring timely close and billing of projects. SPECIFIC RESPONSIBILITIES* Ability to review, validate, or develop models related to one of more of the following: market, credit, operational, liquidity risk capital, ERM, insurance models, stress testing, Basel 2 and Solvency 2 compliance* Assessing business strategies and related risk/control infrastructures* Evaluating, developing, or implementing credit and market risk measurement tools* Reviewing or developing derivative and capital market instrument pricing* Conducting operational risk assessments and event data accumulation* Advisory and methodological support for the quantification or operational risks* Performing underwriting due diligence, claims analysis, product design and pricing studies for non-traditional insurance products* Identifies potential sales opportunities with existing clients* Demonstrates ability to add valuable and creative suggestions to the proposal development process* Demonstrates ability to recognize risk to Protiviti with potential clients and advise appropriately* Demonstrates the ability to discuss technical and industry trends and the related solutions* Develops expertise in specific technical areas or industries* Contributes to employee development by actively mentoring employees, creating development opportunities, and initiating and conducting training* Effectively plans, budgets and manages client engagements* Manages engagement economics (e.g., inventory, receivables, pricing, contribution, etc.) in line with Protiviti goals* Effectively builds and manages client relationships* Delivers specific product solutions to clients* Adds value by identifying client expectations and then exceeding mutually agreed-upon objectives * Identifies opportunities to integrate product solutions and resources to optimize client service* Assists engagement leadership in managing engagement profitability and managing engagement risk
REQUIRED KNOWLEDGE & SKILLS* Theoretical understanding of financial math, financial economics, statistics, and/or insurance modeling* Thorough knowledge in one or more of the following areas: derivatives pricing, interest rate modeling, Value-at-Risk, asset/liability management, and credit modeling* Prior management and direct supervisory experience in a team environment * Ability to travel as necessary to meet client needs* Must work well in a team-oriented environment as well as independently* Must work creatively and analytically in a problem-solving environment* Demonstrated excellent leadership and interpersonal skills* Demonstrated advanced written and verbal communication skills* Must have ability to multi-task* Excellent project management skills* Excellent client relationship skills* Proven Business Development skills* Excellent time management skills* Demonstrated mentoring and people development skills* Must be able to handle highly confidential information in a strictly professional manner* Must be able to maintain professional demeanor in times of high stressREQUIRED TECHNICAL KNOWLEDGE & SKILLS* Strong programming experience (S+, Visual Basic, C/C++, SAS)* Demonstrated skills utilizing high level computations mathematic skills inclusive of finite difference, Monte Carol methods* Advance knowledge of Stochastic Calculus, Brownian Motion and PDE ModelingEDUCATIONAL & PROFESSIONAL CREDENTIALS * Graduate degree in Finance, Economics, Financial Engineering, Statistics, Applied Math or equivalent * PhD strongly preferred* Professional Certification such as FRM, CFA, CPCU) strongly preferred * "Big 4' or other leading consulting experience preferredABILITY TO TRAVEL* Travel throughout the month frequently required based on client requests/commitments