Reporting to the Manager, Model Validation Group, the Sr. Model Validation Analyst plays an active role in the implementation and enhancement of Model Risk Management framework by performing independent validation of Credit Risk, Liquidity Risk, and capital stress testing models with the goals of enhancing model risk governance and improving model quality.
- Conducts model validation and model risk governance across businesses and group companies.
- Applies robust model validation methodology to assess the conceptual soundness of model theory, quality of model implementation, and model ongoing monitoring.
- Develops and applies model quality assessment and approval criteria to ensure the integrity of model implementation, inputs, outputs, monitoring and reporting.
- Develops and maintains documentation, work papers and professional reports of validation results.
- Communicates findings from validate work to management and stakeholders, including recommendations as appropriate.
- Summarize and present model validation results to model risk management committee.
- Ensures business continuity under all conditions, sometimes adverse, with strict adherence to established guidelines and deadlines.
- In-depth knowledge in Retail modelling, PD/LGD/EAD, loss reserve, CECL, capital and stress testing models
- Hands on experience in model validation and model development; and working with large and complex data sets.
- Strong knowledge of SR11-7, capital, stress testing, and other regulatory requirements.
- Strong analytical skills, both quantitative and qualitative.
- Effective interpersonal skills, strong communication, especially written.
- Work Experience: 5 to 7 years of specialized experience in Quantitative Financial Services
- Education:Required:MS (or equivalent experience). Preferred: PhD Degree in Quantitative Math, Finance or Physics a plus