Senior Manager, Market Risk And Liquidity Risk Model Validation

Your OpportunityModel Risk Oversight is a strategic function within the broader Corporate Risk Management umbrella to provide oversight over a broad spectrum of models that create innovative products for our clients, and prudently manage our financial risk using sophisticated quantitative approaches. The Model Risk Oversight team plays a key role in identifying, reviewing, and monitoring all the models at the company.We are hiring a quantitative analyst to conduct model validations and make additional contributions to the Model Risk Oversight team. The analyst will need strong quantitative aptitude and a good understanding of how financial models are used in business context to effectively challenge the choice of methods and assumptions. Prior experience with Asset Liability Management, Liquidity Risk, or Market Risk (Term structure, prepayment, risk metrics of fixed income, derivative hedging, etc.), is desirable. The job responsibilities will include, but not be limited to: Performing model validations following guidelines based on SR 11-7, to include an assessment of model usage, documentation, conceptual soundness, data integrity, the control environment, and the software environment.Presenting work through formal model validation reports, as well as through verbal presentations to model owners, senior management, and oversight agencies.Collaborating effectively with model owners to identify and drive practical resolutions for gaps in model risk management.Evaluating model performance monitoring reports and conducting model annual reviews.*This will be an individual contributor role.What you haveRequired skills and qualifications:Advanced degree in a quantitative discipline (Finance, Economics, Statistics, Mathematics, Physics).5+ years of work experience in quantitative modeling or validation of Asset Liability Management (ALM), market risk or liquidity risk models.An in-depth understanding of fixed income instruments, interest rate and prepayment modeling.Advanced skill with one or more analytical tools, such as R, Python, SAS, SQL, VBA, or Tableau.Preferred skills and qualifications:Experience with 3rd party ALM applications, such as Polypaths, Bancware or QRM.CFA and/or FRM and/or CTP certification.Knowledge of model governance processes and regulatory requirements for large US banks.Strong verbal and written communication skills.Excellent people skills.Job SummaryRequisition ID: 2024-100099Posted Date: 1 week ago(9/9/2024 11:13 AM)Category: Risk & RegulatorySalary Range: USD $101000.00 - $224400.00 / YearApplication deadline: 9/16/2024Position Type: Full time