Director - Model Validation - S&P Ratings Services - Singapore

Job description
The Director - Model Validation is responsible for managing a model validation team which independently validates (tests) the quantitative financial models and engines that are developed throughout S&P Rating Services. These models support S&P’s core businesses, including credit ratings, structured finance analysis, surveillance, risk management, and financial data analysis. The model validation team will work closely with the business unit quality assurance teams and the policy review board to ensure that all models, parameters, data sources, calibrations, implementations and applications meet quality and regulatory standards.


Essential Accountability
Supervise model validation staff
Enhance procedures for model validation to meet new standards
Supervise testing and validation of quantitative models
Communicate findings and recommendations with Ratings Quality and Ratings Business
Evaluate and prioritize model validation projects
Mentor new model validation staff

Qualifications

Advanced degree in Economics, Mathematics, Probability and Statistics, Quantitative Finance or a closely related discipline (Masters or Ph.D.)
10 years of experience in quantitative financial research, model development and model validation
Expert quantitative financial knowledge in the areas of stochastic interest rate modeling, prepayment modeling, spread modeling, default modeling and cash flow modeling
Advanced quantitative skills in the areas of structured finance, credit derivatives, default and recovery modeling and credit risk management
Significant empirical finance research experience working with financial data, calibrating models and conducting validation studies
In-depth knowledge of structured financial instruments (CDO, CMBS, ABS, RMBS) as well as corporate finance and capital adequacy for financial institutions
Solid programming skills in SAS, MATLAB or C
Strong ability to communicate complex technical results to non-quantitative audience
Proven ability to lead projects that coordinate with other departments
Excellent team-building, communication, and interpersonal skills.

The ideal candidate will have excellent financial modeling and empirical research skills, as well as significant hands-on experience in implementing models and model validation systems. The candidate must be able to communicate effectively with quantitative researchers, model developers and quantitative programmers in addition to analysts across S&P’s various businesses. The candidate will have experience in building and managing teams in pursuit of a complex and dynamic business mission.

The ideal candidate will be a proven performer with significant experience in model validation or independent review from a financial services firm. Strong communication skills are required for coordinating and communicating with S&P staff regarding questions arising from the model validation reviews. The position will also coordinate new research to ensure that model validations are effective, of the highest quality possible and provide useful business insight.

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