Model Validator Analyst AVP (Hybrid)

There is a significant increase in the scope and depth of model validation activities across the firm to meet the commitments made to the regulators and to meet the Model Risk Management Policy standards for the firm.

• Responsibilities:
  • Minimum of a Master’s degree in a quantitative field (e.g. Physics, Mathematics, Statistics, Economics, Finance, Engineering, Computer Science, etc.)
  • Prefer candidates with higher academic qualifications and/or certifications such as a PhD, a second Master’s degree, CFA, FRM, or CPA, etc.

  • We are looking for a Model Risk Validator to conduct the validation for quantitative Risk models, such as Credit Risk, Operational Risk, Liquidity Risk, Structured Products, Securities and Securitization (including AFS/HTM), Pension Models, Insurance Models, Interest Rate Models, Scenario Variables/ 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.).

  • Our rigorous validations cover both 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.

  • Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.
  • Strong communication skills. Be able to present validation results to developers and senior management.
  • Solid writing skills. Publications in peer-reviewed journals are considered as good evidence.
  • Knowledge of financial products, risk management, regulatory requirements (e.g. CCAR/DFAST, CECL, IFRS9, ICAAP, BASEL, etc.).
  • Ability to work independently as well as collaborate with colleagues.
  • Strong programming skills in using one or more of programming languages, such as SAS, SQL, R, Python, MATLAB, C/C++, Java, Oracle, etc.
  • Curiosity, diligence, and a healthy skepticism about received wisdom are all desirable.
  • Teamwork and commitment a must.