Model Risk Senior Analyst – Validation [Multiple positions available]
Title: Model Risk Senior Analyst - Validation [Multiple positions available]
Job Location: 277 Park Avenue, New York, NY 10172. Position requires in-office work four (4) days every week.
Job Description: Conduct independent review and validation of selected models used in the organization, focused on assessing risk and validating specific categories of models across the Bank, and ensure compliance with SR 11-07. Use SAS, SQL, Python, R and Excel to extract and analyze data from source systems for use in model validation. Review and validate models used across the Bank for capital stress testing, risk measurement and prediction, pricing, profitability, credit loss forecasting, wealth management, marketing, compliance, profitability and management decision-making, and other functions as needed. Independently review model’s theoretical basis, performance, monitoring, assumptions, as well as implementation. Review remediations for the findings identified. Compose validation report and memo that describes the validation work conducted, effective challenge to the model, gaps and findings identified during the validation. Collaborate with the team lead or manager to review and confirm proper controls and adequate documentation are in place. Effectively interact with specific lines of business and/or support areas including Credit Risk, Finance, Treasury to manage model risk. Track and document progress of the validation. Maintain internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators as applicable. Responsible for day-to-day model validation activities. Plan, organize, and produce results. Interact with internal and external stakeholders/vendors to manage model risk and maximize shareholder return. Complete ad-hoc analysis timely upon requests. Develop standard of model validation tasks and automation codes.
Minimum requirements: Master’s degree (or foreign equivalent) in Mathematics, Statistics, Quantitative Finance, Economics, or a related field of study plus five (5) years of experience in the job offered or as a Model Validation Manager, Model Risk Management Analyst, Model Developer, or related occupation.
Requires five (5) years of experience in each of the following:
- Performing validations of credit models or liquidity models.
- Working with regulator’s requirement of capital stress testing.
- Evaluating model’s performance and fit for stress testing usage, using well designed shocks from relevant economic factors, and working with specific independent variables and stress scenarios.
- Building logistic regression models, linear regression models, and time series models assessing their assumptions and performance.
- Using SQL, SAS, and Python to pull data, analyze data, assess data quality, estimate model parameters for logistic regression, linear regression and time series models
- Using SAS or Python to assess model and business assumptions and ongoing model performance.
Salary: $155,471.50-$165,471.50 per year