Model Risk Review Specialist II

Model Risk Review Specialist II

Requirements

• Master’s Degree in mathematics, statistics, physics, or econometrics
• Minimum 3 + years of relevant analytical work experience in model validation or model development roles.

Responsibilities

• Perform model review and validation in a timely manner according to a project plan adhering to corporate policies and meeting regulatory standards.
• Provide critical analysis and effective thought processes and challenges for models reviewed and validations performed by both internal and external parties.
• Communicate to quantitative and business audiences through verbal and written presentations describing the results of the review/validation analyses, and be able to recommend remediation strategy to address the findings.
• Establish and maintain independent model review/ validation thought processes while adhering to overall business and regulatory guidelines.
• Assist model owners/developers in the compilation of comprehensive model documentation and ongoing maintenance of the documentation.
• Serve as a key resource on model concepts and assumption change questions including the ability to understand impacts through recommendations.
• Work closely with business owners/ model users and developers to understand the business context for model use, and facilitate the model approval process.
• Work with the lines of businesses to identify any modeling gaps, errors or oversights and recommend ways to address these issues.
• Proactively identify emerging model risk issues impacting the company and communicate to model developers, senior management and the appropriate risk committee.
• Keep abreast of the latest quantitative strategies through research on solving problems related to credit, interest rate, market risk, economic capital or capital market valuation etc., and ability to translate it through coding using R, MATLAB, SAS, EXCEL, etc.
• Perform other duties as assigned.

Preferred Qualifications

• Understanding of financial modeling theory and general solutions
• Experience in Risk Management or a Business Unit of a financial institution working with high impact models in the following risk areas: credit, interest rate, market risk, economic capital or capital market valuation
• Familiar with related regulatory requirements on model risk management
• Understanding of statistical concepts and data analysis and demonstrated the ability to apply such concepts
• Have performed independent research and development when needed to solve problems and the ability to translate that into code
• Proficiency in statistical software packages (e.g. SAS, ‘R’, Python etc.), query tools and software, MS Excel
• Excellent communication skills with the ability to communicate findings clearly and concisely, verbally and in writing