06/17/2020
Model Risk Director (Quant Model Validation)
We are looking for a Director level senior person to join the Model Validation & Control group ("MVC"), which is responsible for all aspects of Model Risk Management ("MRM") from model governance & control, independent model validation to model performance monitoring ("MPM") and back testing ("BT"). The Director level incumbent will work closely with the Executive Director of model validation and review within MVC group to set firmwide MPM standards for all models across the firm and provide oversight of model performance monitoring activities including back testing and perform critical analysis to identify model issues and/or limitations.
JOB RESPONSIBILITIES:
Manage the MPM review and non-models control team
Set up and maintain firmwide MPM standards and provide oversight
Review MPM metrics and provide approvals of MPM plans
Review back testing methodologies and provide approvals
Interface with the auditors and Regulators on all aspects of MPM review and oversight
Present MPM review and oversight results and finding resolutions to the Model Risk Governance Council (MRGC)
Challenge MPM reports at monthly MRGC review meeting
Review low-tier models, non-models and enforce control
Perform ad hoc analysis to identify model limitations and performance issues and recommend remediations
Mitigates risk by following established procedures, spotting key errors and demonstrating strong ethical behavior
QUALIFICATIONS:
Broad expertise in quantitative finance on valuation models (curve building methodologies, term structure models, option models, credit models), and risk management models and methodologies (Greeks, VaR, back testing, stress testing).
Knowledge of prepayment modeling, MBS pricing and risks is a plus.
Deep understanding of the regulatory environment surrounding model risk management (SR11-7 and SEC Covered Clearing Agency Standards)
Experience and expert knowledge on VaR modeling and VaR model back testing methodologies
Strong mathematical background, especially in probability theory, stochastic processes, and PDE’s.
Econometric modeling and applied statistics skills (i.e. estimation, time series modeling, Monte Carlo simulation techniques, etc.)
High level of computer literacy, ability to work effectively with Matlab, Excel (VBA), SQL, R, Python or C++
Prior team management experience is required
Be a strategic thinker with vision
Minimum of 10 years of related experience, ideally in model validation, risk analytics or front office quant modeling.
A Ph.D or a Master’s degree in quantitative finance, economics, or other quantitative fields. A Ph.D. is preferred.
Our client prefers this candidate to work from Jersey City, NJ however there is an option to work from Dallas, TX as well.
Send your resume and cover letter to [email protected]