Model Risk Management - Credit Risk

Key Responsibilities

• Validate models in accordance with clients 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

• Masters 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.
• Attainment or progress toward at least one of the following: Graduate degree in business or quantitative discipline, Chartered Financial Analyst (CFA) charter, FRM or PRM risk management certifications, Certified Investment Management Analyst® (CIMA®) certification.
• Demonstrated history of strong analytical skills and attention to detail.