Perform advanced level model validation for the corporation, focusing primarily on model validation and quantitative analysis, and serving as a resource for the corporation in all model risk management related tasks.
Requirements
- Basic computer programming skills (Python, MatLab, SAS, VBA, etc.).
- Advanced competency programming in languages such as Java, C++, TensorFlow, SAS etc.
- A strong grasp of one or more financial modeling disciplines such as credit score modeling, asset-liability management, stress testing, term structure modeling, fraud detection, value-at-risk, capital planning models, loan loss reserve (CECL) modeling, etc.
Responsibilities
- Independently perform model validations spanning multiple domains (e.g., credit risk, market risk, capital planning) to assess fit for purpose, conceptual soundness, mathematical theory and construct, assumptions, data/assumptions, and output reasonableness.
- Evaluate other model controls such as model performance tracking, change management, access control, and documentation.
- Evaluation of validation findings remediation activity including analytical evaluation of residual risk.
- Document all work product in a thorough and concise manner with minimal review edits needed.
- Serve as a consultant on model related projects, performing advanced quantitative analysis on models in development or models undergoing enhancements/rebuilds.
- Work effectively as a team member, assisting the Senior Model Validation Officer, external consultants and/or other analysts in model validation or other model risk management tasks.
- Serve as a resource for the corporation in all model risk management initiatives, including assisting the business units with the Model Risk Management policy, procedures, and training materials.
Other
- High performing individual who demonstrates the ability to perform model validations at an accelerated pace without sacrificing quality.
- Self-starter who solves problems with little to no guidance; brings solutions to the table otherwise.
- Master's degree in a quantitative discipline or equivalent education and related training.
- Excellent communication (verbal and written), organizational and interpersonal skills.
- High attention to detail and ability to think at the organizational level.
- 7+ years of model validation, model development, or similar work experience.
- Ph.D. in quantitative finance, mathematics, statistics or a related field.
- One or more of CFA/PRM/FRM professional designation.
