Validates and oversees creation and usage of complex financial risk management models.
The models cover a variety of products or services related to mortgages, capital market and wealth management areas.
Works with multiple business lines and Model Risk Management team through the model development cycle performing data analysis, testing, documentation verification, benchmarking, creation and coding of challenger models, implementation testing and verification, monitoring.
Deliverables include written reports covering validation reviews, identification of risk concerns, and presentations/communication of the outcomes to the stakeholders.
The group provides a collegial work environment and encourages technical skills development.
Requirements
Bachelor’s degree in a quantitative field, and five or more years of relevant experience OR
MA/MS in a quantitative field, and three or more years of related experience OR
PhD in a quantitative field, and less than two years of related experience
Knowledge of fixed income and derivative valuation
Knowledge of various regression techniques, parametric and non-parametric algorithms, times series techniques, broad range of statistical models, various model validation tests / methodologies, using Python, R, SAS or similar statistical package
Data compilation, programming skills and qualitative analysis skills
Knowledge of the quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches
Ability to manage multiple tasks across various timelines
Strong analytical, organizational, problem-solving, negotiation, and project management skills
Demonstrated independence, teamwork and leadership skills
Effective interpersonal, verbal and written communication skills
Benefits
Healthcare (medical, dental, vision)
Basic term and optional term life insurance
Short-term and long-term disability
Pregnancy disability and parental leave
401(k) and employer-funded retirement plan
Paid vacation (from two to five weeks depending on salary grade and tenure)
Up to 11 paid holiday opportunities
Adoption assistance
Sick and Safe Leave accruals of one hour for every 30 worked, up to 80 hours per calendar year unless otherwise provided by law
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