Senior Consultant, Data & Advanced Analytics - Model Risk

Company: Protiviti Inc.
Location: New York, NY
Posted on: January 28, 2016

Job Description:

Position: Senior Consultant, Data & Advanced 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.

Requirements: Master’s degree (or foreign equivalent) in Financial

Engineering, Statistics, Applied Mathematics, or related analytical field.

Also requires: demonstrated expertise performing derivative pricing,

including estimating the fair value of derivative contracts, and interest

rate modeling to describe future evolution of interest rates; performing

Value At Risk to measure and quantify the level of financial risk within a

firm or investment portfolio; performing Asset Liability Management to

coordinate the management of assets and liabilities to monitor returns;

analyzing and modeling Credit Risk and Market Risk; performing programming

for statistical and computational analysis using SAS, Visual Basic, C++, R,

and Matlab; utilizing computational methods to solve probabilistic finance

problems using finite difference and Monte Carlo methods; and using PDE

modeling, Stochastic calculus, and Brownian methods to model financial

variables.

** Expertise may be gained during graduate program.

Submit resume to Job Code SCDAA2016, Dana S. Portnoy, Protiviti, 125 High

Street, 20th Floor, Boston, MA 02110

Keywords: Protiviti Inc., New York , Senior Consultant, Data & Advanced Analytics - Model Risk, Finance , New York, NY, New York