Model Validation Associate Director

Model Validation Associate Director

Requirements

• Ph.D. or master’s degree in quantitative finance, mathematics, economics, financial engineering, or other quantitative fields
• 3-5 years of related experience, ideally in financial risk model validation, risk analytics or quantitative modeling
• Knowledge of the financial market and products
• Experience in model validation and or model development
• Familiarity with regulatory requirements on Model Risk Management (SR 11-7 and CCAS rules)
• Proficiency in programming languages (For example, SQL, Python, R, SAS, C/C++)

Responsibilities

• Perform hands-on validations and reviews, write quality model validation reports, and provide model approvals.
• Collaborate with the Project Management Office (PMO) to maintain a viable model validation schedule, coordinate and oversee model validation, and review performed by the model validators to ensure timeliness, quality, and effective challenge.
• Work with the model owner, model developer, and model user on all aspects of model validation and issue resolution.
• Prepare model validation and review presentations to the Model Risk Governance Council (MRGC) meetings for model approval, model issue tracking and resolution. Present results and finding resolutions to the Model Risk Governance Council (MRGC).
• Collaborate with the Operations & Management Assurance (OM&A) team to ensure the highest quality of validation, annual review, and Model Performance Monitoring (MPM) reports.
• Collaborate with the auditors and regulators on all aspects of model validation.
• Challenge the model performance and methodologies at monthly MRGC review meeting.
• Perform ad hoc analysis to identify model limitations and performance issues. Recommend action plan for remediation.
• Review Model Performance Monitoring (MPM) metrics and plans according to firmwide Model Performance Monitoring (MPM) standards and opine on the appropriateness of the metrics and plans.
• Present Model Performance Monitoring (MPM) reviews, oversight results, and finding resolutions to the Model Risk Governance Council (MRGC).
• Challenge Model Performance Monitoring (MPM) reports at monthly Model Risk Governance Council (MRGC) review meeting.
• Review low-tier models and non-models and implement established controls.

Preferred Qualifications

• Familiar with banking, financial institutions, financial instruments, and capital markets
• 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)
• Experience and authority knowledge on VaR modeling and VaR model back testing methodologies
• Strong mathematical background, especially in probability theory, stochastic processes, and PDE’s
• Economic modeling and applied statistics skills (i.e., estimation, time series modeling, Monte Carlo simulation techniques, etc.)
• High Level of digital literacy, ability to work efficiently with MATLAB, Excel (VBA), SQL, R, Python or C++
• Excellent written and verbal communication and presentation skills, ability to communicate quantitative concepts to financial professionals
• Knowledge of prepayment modeling, MBS pricing and risks is a plus
• Knowledge and experience on data science and Machine Learning techniques/languages is desired
• SEC Covered Clearing Agency Standards