Manage model risk across the model lifecycle including model validation, ongoing monitoring and annual reviews; Independent model validation work, providing effective challenge in regards to mathematical formulation, model assumptions and limitations, calibration, implementation, numerical performance, and business uses; Write high-quality model validation documents in compliance with model risk management policy and procedures, internal audio requirements, and regulatory guidance; Manage stakeholder interaction with model developers and business owners during the model lifecycle; Be ready to assist in the bank interactions with Internal Audit and Regulatory Agencies, as required; Contribute to strategic, cross-functional initiatives within the model risk organization
Requirements:
Master’s Degree required, preferably in quantitative field (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 2 years of experience in model validation; Experience in model validation in one or more of Credit Risk, Market Risk or etrading models; A firm understanding of model risk management regulatory guidance SR 11-7 as it relates to effective model validation practices is expected; Sound knowledge of at least one of the following programming languages; Python or R required
Text:
Cross Asset Markets and Risk Models Validation Manage model risk across the model lifecycle including model validation, ongoing monitoring and annual reviews; Independent model validation work, providing effective challenge in regards to mathematical formulation, model assumptions and limitations, calibration, implementation, numerical performance, and business uses; Write high-quality model validation documents in compliance with model risk management policy and procedures, internal audio requirements, and regulatory guidance; Manage stakeholder interaction with model developers and business owners during the model lifecycle; Be ready to assist in the bank interactions with Internal Audit and Regulatory Agencies, as required; Contribute to strategic, cross-functional initiatives within the model risk organization Master’s Degree required, preferably in quantitative field (Mathematics, Statistics, Financial Engineering, Quantitative Finance etc.) with 2 years of experience in model validation; Experience in model validation in one or more of Credit Risk, Market Risk or etrading models; A firm understanding of model risk management regulatory guidance SR 11-7 as it relates to effective model validation practices is expected; Sound knowledge of at least one of the following programming languages; Python or R required
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