EXTERNAL CLIENT ROLE
The AVP/VP of Model Risk Management is responsible for coordination of activities to be performed by the NY Branch (NYB) independent Model Risk Management (‘MRM’) function. The AVP/VP maintains effective, and efficient model risk management policy as well as conducts the independent model validation.
- Responsible to maintain the Model Risk Management framework, including supporting of Model Risk Management Policy and Procedure, Model Inventory and repository of model related documentations
- Performing the independent model validation of various models (Compliance, Credit Risk, Market Risk, etc.) in the NYB model inventory. Validation scope includes review of model conceptual soundness, evaluation of development data integrity, assessment on model assumptions and limitations, performing outcomes analysis, and review of model governance and control process.
- Discussing findings with internal and external stakeholders, writing validation reports and managing model risk on an ongoing basis
- Providing support for project management from the standpoint of model risk management, as necessary
Required Skills and Personal Attributes:
- Sound Mathematical and Statistical knowledge with an understanding of risk modelling and model validation
- Independent, accountable and skilled in exercising sound judgment and decisiveness under pressure; and gives attention to details
- Demonstrated knowledge of model risk management and associated regulatory requirements (FRB SR11-7)
- Strong interpersonal, team-working and organizational communication skills to collaborate with related business departments/teams.
- Solid writing skills. Publications in peer-reviewed journals are considered as good evidence
- Computer proficiency in Microsoft Office and programming languages like SQL/SAS/Python/R
- A Master’s degree or higher in a quantitative discipline (Mathematics, Physics, Finance, Engineering, Economics, Statistics, etc.)
- 3+ years relevant experience of developing or validating models or in an enterprise risk management reporting activity
- Prior experience at a foreign bank, preferred