Executive - Model Risk Management - AVP / VP

POSITION DESCRIPTION

We are seeking a Model Risk Management Manager with a strong interest in model risk management to play an active role in performing governance and independent reviews of the Firm's models and non-models (e.g., EUCs, Tools, etc.) where applicable. The role spans multiple aspects of model risk governance applicable to the firm and its subsidiaries. The position is responsible for helping ensure that all aspects of the model's lifecycle are in compliance with regulations, and internal policies and procedures.

SPECIFIC DUTIES:

• Manage and maintain firm wide model inventories (i.e., active models, pending models, decommissioned models) and as well as non-model inventories (e.g., tools, databases, EUCs) and ensure that these inventories are periodically affirmed by the respective Model Owner and/or BURM
• Ensure change control logs / model release notes are obtained from Model Owners on a periodic basis for review and assessment with MRM Director
• Remain proactive in keeping abreast of regulatory expectations related to model risk management as well as industry practices that may affect specific models and potentially impact both firmwide and individual model governance and risk, including potential updates to the firmwide Model Risk Management Policies and Procedures
• Review and obtain support for ongoing performance monitoring activities performed by Model Owners and report observations to MRM Director
• Assist with the annual model risk assessment process to ensure that the assessment of each model is effectively challenged and formally documented
• Review model documentation to ensure consistency across business lines and throughout the Firm and that updates are performed at least annually, where applicable
• Where applicable, support the maintenance and execution of model validation and review processes by scheduling meetings and acting as main contact for interactions between the Model Owner and external Model Validators, including remediation of model validation observations as well as review and maintain support for the closure of observations
• Assist with preparing the appropriate level of reporting for BURMs, ERM Managing Director,
Operational Risk Committee, Risk Management Committee, and other ad-hoc reporting as needed
• Assist with the remediation of any internal audit and/or regulatory MRM findings prior to due date which may include developing an action plan

PREFERRED QUALIFICATIONS:

Bachelor's degree in Finance, Accounting, Economics, Statistics, Mathematics, Computer Science, or a Business/Finance related discipline.
Financial Risk Manager (FRM), Chartered Financial Analyst (CFA)

REQUIRED WORK EXPERIENCE

• 6-10 years' experience in the Risk Management/Analytics division in large banks and/or tier 1 consulting organizations, captive finance companies, or top tier banks is preferred
• Some degree of familiarity with various lines of business units/ support areas (i.e., Fixed Income, Wealth Management, Investment Banking, Equity, Research, Compliance, Corporate Accounting, Treasury, etc.) using models and the model's intended use
• Experience in quantitative modeling and valuation of derivatives or structured products, development or validation of pricing models across various asset classes (i.e., Equities, Credit, IR, FX, etc.)
• Strong computer literacy
• Ability to work both independently and in a team-orientated, collaborative environment is essential
• Ability to multi-task and execute tasks effectively in a high profile and high-pressure environment is crucial
• Sound knowledge and understanding of regulatory expectations for model risk including FRB SR 11-7, OCC 2021-39, and other related regulations
• Computer Software - Proficient and demonstrated skills in Microsoft Outlook and Microsoft Office Suite (Word, Excel, PowerPoint and Visio).
• Financial Theories - Competent in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives).
• Simulation Techniques - Sound knowledge of various simulation techniques (i.e., Monte Carlo Simulation, discrete event, continuous event, etc.)
• Programming skills - Expertise is one programming language (i.e., SAS, R, Python) is a must. Programming ability in C++ would be a plus
• Problem Solving - Strong conceptual and quantitative problem-solving skills and demonstrated curiosity in researching and evaluating issues and potential resolutions
• Communication Skills - Effective communication skills and able to relay information well in both written and verbal form at all levels