I'm currently working on a VP-Level opportunity in the Model Risk Management team. This is a very hands-on team with a strong reputation in the market and will allow for wide exposure across all the firm's in-house models not specific to market or credit risk. This team will work extremely closely with the front office as well as government regulators (OCC, FRB).
For this opportunity, you will be responsible for:
- Covering both technical and functional aspects of Model Risk Management, including the Technical assessment of:
- Model Data, Model Assumptions, Conceptual Soundness, Mathematical Formula, Model Performance and the functional assessment of using the model for regulatory and business applications
- Strong communication between model developer groups within the business, as well as external vendors and regulatory agencies
- Strong understanding of CCAR/DFAST, CECL, IFRS9, ICAAP, Basel, Financial Planning and Internal Stress Testing
- For more clarity, the models you will be working with will include:
- Operational Risk, Liquidity Risk, Structured Products, Securities and Securitization (AFS/HTM), Pension Models, Insurance Models, IR Models, Macroeconomic Forecasting, Climate Risk
- At least 3+ years at a financial institution with experience in either model development, model validation or model uses at a financial institution
- Deep understanding of financial products, risk management, CCAR/Basel/ICAAP regulatory requirements.
- Excellent knowledge and understanding of a variety of model development and validation testing techniques covering risk models
- Graduate Degree (Master's Required, Ph.D Preferred) in highly quantitative field
- Programming Languages: Python, R, SQL, SAS- (MATLAB, C/C++ Strongly Preferred- Not Required)
- CFA, FRM or CPA also preferred