Office Status: Hybrid
- Set up and maintain firmwide model validation procedures, standards, and templates.
- Maintain model validation schedule, coordinate, and oversee model validation and review performed by the validators to ensure the timeliness, quality, and effective challenge.
- Perform hands-on validations and reviews, write quality model validation reports, and provide model approvals.
- Work with the model owner, model developer and model user on all issues of model validation and issue resolution.
- Prepare model validation and review presentations to the Model Risk Governance Council (“MRGC”) meetings for model approval, model issue tracking and resolution.
- Present model validation and review results and finding resolutions to the Model Risk Governance Council (MRGC)
- Interface with the auditors and Regulators on all aspects of model validation.
- Challenge the model performance and methodologies at monthly MRGC review meeting
- Perform ad hoc analysis to identify model limitations and performance issues and recommend remediations
- Minimum of 10 years of related experience, ideally in model validation, risk analytics or front office quant modeling.
- A Ph.D. or a master’s degree in quantitative finance, economics, or other quantitative fields. A Ph.D. is preferred
- Familiar with banking, financial institutions, financial instruments, and markets
- Broad expertise in quantitative finance on valuation models (curve building methodologies, term structure models, option models, credit models), and risk management models and methodologies (Greeks, VaR, back testing, stress testing)
- Deep understanding of the regulatory environment surrounding model risk management (SR11-7 and SEC Covered Clearing Agency Standards
- Experience and expert knowledge on VaR modeling and VaR model back testing methodologies
- Strong mathematical background, especially in probability theory, stochastic processes, and PDE’s.
- Econometric modeling and applied statistics skills (i.e., estimation, time series modeling, Monte Carlo simulation techniques, etc.)
- High level of computer literacy, ability to work effectively with MATLAB, Excel (VBA), SQL, R, Python or C++
- Excellent written and oral communication and presentation skills, ability to communicate quantitative concepts to financial professionals
- Prior team management experience is required
- Knowledge of prepayment modeling, MBS pricing and risks is a plus
- Experience on data science and Machine Learning technics/languages is desired