Model Risk Management

Model Risk Management -Vice President Risk & Capital Planning

Primary Responsibilities

The primary responsibilities of the role include but are not limited to the following:

Provide independent review and validation compliant with MRM policies and procedures regulatory

guidance and industry leading practices including evaluating conceptual soundness quality of model

methodology model limitations data quality and on-going monitoring of model performance

Take initiatives and responsibility of end-to-end delivery of a stream of Model / Tool Validation and related

Risk Management deliverables

Write Model / Tool Review findings in validation documents that could be used for presentations both

internally (model and tool developers business unit managers Audit various global Committees) as well

as externally (Regulators)

Verbally communicate results and debate issues challenges and methodologies with internal audiences

including senior management

Represent MRM team in interactions with regulatory and audit agencies as and when required

Follow financial markets & business trends on a frequent basis to enhance the quality of Model and Tool

Validation and related Risk Management deliverables.

Qualifications

Skills required (essential / preferred)

Masters or Doctorate degree in a quantitative discipline such as Statistics Mathematics Physics orEngineering is essential

Experience in a Quant role in validation of Models in developments of Models or in a technical role inFinancial institutions e.g. Developer is essential

Strong written & verbal communication skills including debating different viewpoints and making formalpresentations of complex topics to a wider audience is preferred

12 years of relevant work experience in a Model Validation role in a bank or financial institution

Proficient programmer in Python ; knowledge of other programming languages like R. is preferred

Willingness to learn new and complex topics and adapt oneself (continuous learning) is preferred

Working knowledge of statistical techniques quantitative finance and programming is essential; good

understanding of various complex financial instruments is preferred

Knowledge of popular machine learning techniques is preferred

Relevant professional certifications like CQF or progress made towards it are preferred

Desire to work in a dynamic team-oriented fast-paced environment focusing on challenging tasks mixing

fundamental quantitative and market-oriented knowledge and skills is essential

Required Skills:

Model Risk ManagementQuantQuantative AnalysisModelsdevelopments of ModelsPythonCQFCCARRWAScenario DesignPPNRRStatisticsMRM