Model Risk Methodology Role - BFS

- Developing common model risk metrics, monitoring and diagnostics.

- Leveraging machine learning techniques for model risk anomaly detection.

- Developing new models for benchmarking existing ones.

- Helping drive requirements of the new model reporting framework.

- Working closely with other QR groups to implement consistent model risk practices across the groups.

- Participate in generating data or information in response to ad-hoc internal and external requests relating to model risk.

- Work as a key member of a team responsible for establishing new practices for model risk management

Required Skills:

- Knowledge of financial math and math modeling

- Excellent analytical and problem solving skills

- Affinity with model validation or model governance

- Python or C++ software development with emphasis on numerical methods

- Good communication skills

- PhD or Master's degree or equivalent from top tier schools/programs in Mathematics, Mathematical Finance, Computer Science, Physics, or Engineering

Preferred Skills:

- Experience in model validation and understanding of model risk

- Experience with object oriented design

- Machine learning experience