This major investment bank in NYC is seeking a strong quantitative candidate to join its Model Validation group within Model Risk Management (MRM). MRM is part of the Firm Risk Management of this bank and it has global responsibility for the independent risk control, review and validation of models used by the bank. These include derivative pricing models in all product areas (i.e. interest rates, currencies, commodities, equities, credit, and securitized products), as well as models used for counterparty credit risk (CVA/IMM), market risk, operational risk, and capital and liquidity stress tests.
-Provide independent review and validation of various models for Contingency Funding Planning/Liquidity Risk and Asset/Liability Management (e.g., Net Income Sensitivity Models).
-Provide independent review and validation of liquidity risk models used in the context of CCAR/DFAST, Recovery/Resolution Planning.
-Closely work with colleagues in Corporate Treasury and Firm Risk Management, actively contributing business expertise in model validation and model risk assessment.
-Communicate/coordinate well with Senior Management, and colleagues in Firm Risk Management, Finance and in other departments.
-General model validation related responsibilities include:
-Effectively challenge, review, validate and test models.
-Produce high-quality model review documentation that satisfies the Firm's internal model approval functions.
-Independently implement benchmark models.
-Model risk control, monitoring and enforcing compliance in model usage.
Skills required (essential)
-Strong quantitative skills and qualitative analysis capabilities. Masters or Ph.D. degree in quantitative or business management disciplines, e.g. Statistics, Economics, Physics, Mathematics, Operations Research, and Corporate Finance.
-2-6 years relevant work experience gained in a banking institution is highly preferred.
-Solid computer skills. Experience with standard statistical software/computing languages and large dataset handling is highly preferred.
-Clear thinking, good business sense and judgment.
-Strong interpersonal skills.
-Excellent oral and written communication skills.