Responsible for independently conducting quantitative analytics and complex modeling projects. Leads efforts in review and validation of new and existing models, analytic processes or system approaches. Creates documentation for all activities and may work with technology staff in use of any system to run models developed. Incumbents possess excellent quantitative/analytic skills and are able to influence strategic direction, as well as develop tactical plans.
The role is to assist the Liquidity Risk models and Balance Sheet Management (BSM) models team within the firms Enterprise Model Risk Management (MRM) Group. The successful candidate will be responsible for managing model risk management activities related to the Liquidity/BSM function reporting to the Head of Liquidity/BSM Model Risk Management covering loan, deposit and liquidity risk models.
The candidate will interact with Model Developers, Model Owners, Global Control Functions to prioritize and complete validation activities and to effectively maintain and oversee the model risk governance processes. The candidate is also expected to provide support to senior management during regulatory and audit exams and submission requirements.
The key aspects to consider for applying to the role are:
- Opportunity to be part of a dynamic and growing Model Risk Management team in a top global bank
- Ability to deliver strategic vision in enhancing model risk management
- Exposure to advanced modeling techniques and ideas
- Potential opportunities to career progression as future leaders in risk
- Opportunity to manage strong technical and high performing teams in Model Risk Management
- Review and validate forecasting and pricing models
- Oversee model validation activities carried out by model validators
- Manage effectively business priorities to complete validation work to ensure organic growth and sustainable business opportunities
- Provide support for regulatory and audit requests
- Maintain effective challenge, critical thinking, independence and strong compliance to policy and procedures in model risk management activities
- Enhance and maintain strong governance around model risk for the assigned area of business
- Develop and retain strong teams
COMPETENCIES WE LOOK FOR:
- Drives Operational Excellence
- Promotes collaboration and develops strong talent
- Communicate with impact and ability to influence partners in strategic decisions
- Ability to manage risks effectively through strong decision making processes
- Masters/Ph.D. in Economics, Computational Finance, Mathematics, Statistics, Physics or related degree.
- At least 5 years experience in financial markets is required.
- Proven experience with SAS, Matlab and R.
- Experience with times series and regression modeling
- Strong familiarity with liquidity risk and balance sheet management modeling and products is a must. Good knowledge of rate and credit modeling is preferred.
- Familiar with SR11-07 and related requirements on model risk
- Strong communication skills
1st shift (United States of America)
Hours Per Week: