- In depth exposure to Model Validation activities
- Be a key part of a growing team
About Our Client
- The client is a global financial services institution.
MPI does not discriminate on the basis of race, color, religion, sex, sexual orientation, gender identity or expression, national origin, age, disability, veteran status, marital status, or based on an individual's status in any group or class protected by applicable federal, state or local law. MPI encourages applications from minorities, women, the disabled, protected veterans and all other qualified applicants.
- Someone who is experienced Model Risk Manager to lead the validation for quantitative Risk models, such as Credit Risk, Operational Risk, Liquidity Risk, Structured Products, Securities and Securitization (including AFS/HTM), Macroeconomic Forecasting models, Climate Risk, etc. which are used to assess the adequacy of risk capital and estimated losses for regulatory or business requirements (including CCAR/DFAST, CECL, IFRS9, ICAAP, Basel, Financial Planning, Internal Stress Testing, etc.).
- Covers technical and functional aspects of Model Risk Management, including the technical assessment of model data, model assumptions, conceptual soundness, mathematical formula, model performance, as well as the functional assessment of using the model for regulatory and business applications.
- Entails heavy communication and coordination with various model developer groups and with external vendors. As needed, the role may interact with internal audits, government regulatory agencies such as the OCC and FRB.
The Successful Applicant
- Excellent knowledge and understanding of a variety of model development and validation testing techniques covering risk models, including but not limited to linear regression models, logistic regression, and related segmentation statistical tools. Previous familiarity with Risk models such as Credit Risk, Operational Risk, Market, and Liquidity Risk is preferred.
- Deep understanding of financial products, risk management, CCAR/Basel/ICAAP regulatory requirements.
- Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
- At least over 3 years at a financial institution with experience in either model development, model validation or model uses.
- Strong communication skills (both verbal and writing skills).
- Master's Required, preferable Ph.D. in a highly quantitative field (e.g. Physics, Mathematics, Statistics, Finance, Economics, Computer Science, Engineering, etc.).
- Programming skills in using one or more of programming languages, such as SAS, SQL, R, Python, MATLAB, C/C++, Java, Oracle, etc.
- CFA, FRM, or CPA is a plus.
What's on Offer
- Competitive pay and bonus structure.
- Competitive benefit package.