Acuity Knowledge Partners - Credit Risk Role - DL/DM/PD Model/Scorecards Validation

Credit Risk - DL/DM (Pd Model, Scorecards Validation)

Key Responsibilities:

- Validate models in accordance with client's model risk management policy to assess model usage, documentation, conceptual soundness, data integrity and the control environment.

- Communicate results via formal model validation reports, as well as presentations to model owners and senior management.

- Evaluate model performance monitoring reports, and conduct model annual reviews.

- Maintain the model inventory and support the model risk governance process.

- Perform ad hoc (generally statistical) analysis of back-tests or simulated performance information.

Desired Qualification:

- Master's degree in mathematics, statistics, data science, finance or a relevant field.

- Experience in model development, model validation or model governance.

- Programming experience with demonstrated exposure to multiple languages such as Python, SAS, R, MATLAB, SQL, VBA, C++ or similar languages.

- Familiarity with vendor investment analytic applications: Aladdin, Axioma, Barra Portfolio Manager, Barra One, RiskMetrics, Yieldbook, Moody's Analytics, etc.

- Experience with vendor financial data vendors: Bloomberg, Refinitiv, CRSP, MSCI, Markit, S&P Capital IQ, etc.

- Solid understanding of financial predictive modeling, such as multi-factor risk models, time series forecasting, Value-At-Risk (VaR), optimization theory, and machine learning.

- Demonstrate strong understanding of capital markets and various asset classes: equities, fixed income, FX, and commodities.

Summary: The ideal candidate will have 4-7 years of experience in Credit Risk-Model Validation and Model Governance. (Scorecard model, PD models)