Director – Model Risk

Full Time

Investing Client

Office Status: Hybrid

Responsibilities:

  • 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

Qualifications:

  • 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
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