The Model Risk Management team within Corporate Risk Management is responsible for identifying all model risk at the company, and for ensuring that this risk is properly managed and mitigated, according to the Model Risk Management policies and procedures.
Brief Description of the Role:
Our Model Risk Management Team is looking for a Senior Manager to support their growing team. The Senior Manager will initially report to the Vice President of Model Risk Management, but may eventually report to the Managing Director of Model Risk. The Senior Manager will be responsible for performing independent model validations which includes; reviewing model documentation for completeness, assessing the suitability of models for their intended purposes, evaluating model conceptual and mathematical soundness, performing stress testing and other sensitivity analysis, reviewing data inputs and outputs, and making recommendations for improvements. The Senior Manager will need strong quantitative aptitude and a good understanding of how financial models are used in business contexts.
The job responsibilities will include, but not be limited to:
This is an individual contributor role.
- Evaluate other model controls, such as performance monitoring reports, model assessment reports, and change management processes.
- Present work through formal validation reports, as well as through presentations to model owners and senior management.
- Work effectively as a team member with other quantitative analysts at the company, as well as with external consultants.
- Keep abreast with developments in quantitative risk management and industry best practices in model validation.
The successful candidate must possess the following skills:
- A Bachelor’s degree and 8 years of related work experience, a Master’s degree and 5 years of related work experience or a PhD and 3 years of professional work experience.
- Familiarity with financial modeling disciplines, such as term structure modeling, econometric techniques, Monte Carlo analysis and score card development.
- Advanced knowledge of one or more programming languages and analytical tools, such as SAS, MATLAB, VBA and C++.
- Good analytical, written and oral communication skills
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