Model Risk Management

- This opportunity is for a role within the Model Risk Management team with a leading global custodian bank. The Model Risk Management Group oversees the enterprise-wide model risk guidelines & performs the independent validation of models that impact strategic risk, credit risk, operational risk, market risk & the capital allocation framework.

- The role is responsible for the model validation process. In this capacity, the resource will be tasked with building out a local model validation team, as well as serving as a point of contact within the global model validation function. This is a highly visible role across Corporate Risk function.

- The successful candidate will gain a broad exposure to the new bank regulatory environment & will have the opportunity to make a contribution to the bank's evolving model risk monitoring process & governance guidelines.

Major Duties :

- Conduct hands-on evaluation of models proposed by the company's risk & business units. This includes assessing model risks by performing detailed model validation reviews, evaluating performance thresholds, researching model approaches & creating alternative models

- Communicate findings to model owners & management & ensure those findings are addressed appropriately

- Support internal capital allocation methodologies by ensuring that the underlying modeling approaches meet internal corporate needs & regulatory requirements

- Provide technical expertise to resolve model risk issues & enhance overall model risk framework. Work with other Risk teams to ensure that model risk management policies/ processes & quantitative modeling approaches are consistent

- Proactively provide training to promote understanding of model risk measurement throughout the company

- Advise junior team members in the resolution of technical problems. Provide leadership for projects & strategic directions on validation activities

Required Knowledge/ Skills :

- Excellent oral & written communication skills

- A solid understanding of general statistical principles (e.g. estimation, hypothesis testing) & modeling techniques (e.g. OLS, logistic regression, time series analysis)

- Strong conceptual & technical knowledge of risk concepts & quantitative modeling techniques

- Strong analytical & problem solving skills

- Strong project management & time management skills

- Prior model building experience is highly desirable

- Recent programming knowledge in SAS or R is required

- Experience in CCAR model development/ validation is highly preferred

- Financial Regulation knowledge (Dodd Frank, BASEL III) is preferred

Candidate Qualification :

- Advanced degree in a related field (math, statistics, economics) from premier institute preferred

- Relevant industry experience (financial services) with multinational banks, investment banks or global consulting firm like the Big 4s etc.

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