Evalueserve - MBS Modelling Role

MBS 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