Senior Model Risk Manager
The role is in the Model Risk Management Group. Responsibilities of this position include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk.
Key Responsibilities:
- Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
- Manage stakeholder interaction with model developers and business owners during the model lifecycle.
- Represent the bank in interactions with regulatory agencies, as required.
- Present model validation findings to senior management and supervisory authorities.
- Provide effective challenge to model assumptions, mathematical formulation, and implementation
- Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
- Contribute to strategic, cross-functional initiatives within the model risk organisation.
- Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation, ideally experience in modelling of Counterparty Credit Risk and Market Risk.
- Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.
- Good knowledge of financial products, financial mathematics, pricing methodologies, numerical techniques, risk management, Basel/CCAR regulatory requirements.
- Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
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