The Specialist (Model Risk Analyst) will contribute to highly visible enterprise-wide model validation function in the organization. The models make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis. The role will be to execute enterprise standards for model validation. The incumbent will be responsible for identifying and evaluating model risk and propose controls to manage that risk. This will entail following the scope of a validation effort and executing tests and reviews. The incumbent may work in one of five disciplines, each responsible for a different type of modeling: 1) Credit Risk Modeling 2) Treasury Modeling 3) Market Risk Modeling 4) Pricing Modeling 5) Forecasting Execute enterprise standards for model validation by applying techniques and methodologies to test assumptions and review outcomes of a model. Tests and reviews align to the validation scope established by more senior colleagues. The incumbent will be responsible for identifying and evaluating model risk and proposing controls to manage that risk. Subsequent to the validation of a model, the incumbent is expected to lead projects that automate prior testing, allowing risk to be assessed on a dynamic basis. The incumbent may be required to construct shadow models that run alongside those in production, allowing Model Risk Management to monitor performance in real time. No formal supervisory responsibility. Primarily responsible for the accuracy and quality of own work . Modified based upon local regulations/requirements.
Master's Degree/PhD in a quantitative discipline, including engineering, mathematics, physics, statistics, econometrics. The candidate must have a superb quantitative and analytical background with a solid theoretical foundation coupled with strong programming, documentation and communications skills. 0-2 years of experience. Must have experience with complex quantitative modeling, numerical analysis, and computational methods using programming languages (such as C/C++, C#, Java, FORTRAN, MATLAB, SAS) as well as mathematical/statistical software packages. Must be extremely focused, detail oriented, results oriented and highly productive. Must have a proven track record of being able to efficiently and effectively conduct independent research, analyze problems, formulate and implement solutions, and produce quality results on time. The candidate must have excellent scientific and technical documentation and presentation skills, assertiveness & influencing skills, and the skills to explain abstract theoretical concepts to a non-expert audience in easy-to-understand language.
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