Associate/VP - Model Risk Management - Bank

A leading global bank is looking for an Associate/VP for its model risk management function. The team is responsible for developing model risk policy and control procedures, performing model validation, providing guidance on a model's appropriate usage, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.

Responsibilities:

- Perform assessments of model specification, appropriateness of the methodology, the reasonableness of assumptions and reliability of inputs.

- Assess the completeness of the testing performed to support the completeness of the implementation.

- Assist the model identification process by assessing whether newly identified methodologies should be in the scope of the model risk policy.

- Work with model developers and model users to understand methodology and usage.

- Liaise with other teams in relevant coverage areas across the firm.

Skills:

- More than 6 years of work experience

- Knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods.

- Knowledge of Mortgage Backed Securities, Rates Modelling and Statistical Modelling.

- Knowledge of modeling- valuation, risk, capital, forecasting, investment management.

- Experience in model validation and/or model development