Northern Trust - Quant Model Validation

Summary:

This opportunity is for a Model Validation Quant role within the Model Risk Management Group. The primary function is to perform detailed validation of Risk models, Exposure models and Pricing models from across the firm.

Responsible for contributing to the validation of models and performance of a high quality risk analytics as identified within the model risk management framework for the Corporation . Resolves complex issues in model validation and measuring risk, allocation of capital for performance measurement, or other aspects of risk measurement.

Major Duties

Model Validation project investigates all the following aspects of the Model:

- Review the model and documentation against internal policy and regulatory requirements.

- Review the model theory and design in the development document to verify the conceptual soundness of the modelling approach, assumptions and limitations.

- Evaluate models within the existing model risk management framework in relation to corporate objectives and industry leading practices. Assess the rationale behind choosing a particular model type.

- Prepare challenger models in case the model performance is not satisfactory.

- Validate the data inputs, transformations, overrides, data integrity, missing value treatment, treatment of outliers, limitations of development data

- Validate the processing code and underlying mathematics of the developer by independently developing the code.

- Verify the output of the models by replicating the results shown in the development documentation.

- Perform Backtesting, Benchmarking and Sensitivity analysis of the Model.

Provides technical/theoretical expertise to resolve model risk issues and enhance overall model risk management framework. Works with other risk teams to ensure that risk management policies/processes and quantitative modeling approaches are consistent:

- Ensures that capital modeling and allocation approaches meet both internal corporate needs and regulatory requirements related to prevailing regulatory guidance.

- Works with project management team to track development efforts and resolve issues.

- Operates independently; has in-depth knowledge of business unit / function

- Acts as subject area expert, provides comprehensive, in-depth consulting and leadership to team and partners at a high technical level

- Carries out complex activities with significant financial, client, and/or internal business impact.

- Role is balanced between high level operational execution and development, and execution of strategic direction of business function activities

- Responsible for interaction with different committees and/or management

Knowledge/Skills:

- Excellent oral and written communication skills are required. The candidate is expected to justify all his validation findings to the Higher Management very clearly.

- Should have strong knowledge in Statistics acquired academically or through Work experience

- Strong conceptual and technical knowledge of risk concepts and quantitative modeling techniques. Understanding of stochastic calculus, derivatives pricing theory & numerical methods.

- Functional / Industry Knowledge is required. Analytical and problem solving skills are required.

- Strong Excel skills are required.

- Technical skills / systems knowledge (e.g. SAS, Matlab, R) is desirable.

- Experience in CCAR models validation desirable.

- Financial Regulation knowledge (Dodd Frank, BASEL III) will be desirable.

Candidate Qualification:

- PhD / M. Sc (Financial Engineering / Statistics / Mathematics) / MBA in finance from top B-schools

- CFA/FRM/CQF candidates preferred.

Experience Required:

- Minimum 3-8 years