Credit Risk Role - Model Validation - BFS

Responsibilities

1. Assist in reviewing the overall model validation process, and the related output to ensure continuing adherence to the Model Risk Management policy and regulatory requirements.

2. Advise on model materiality tiers and setting up of validation standards commensurate with models- materiality. Help achieve validation consistency across different models of similar risk types and materiality tiers.

3. Review the validation scope and related regulatory requirements, including MRA/MRIA/audit findings, to ensure that the validation scope adheres to those.

4. Ensure model validation provides affective challenge during project validation.

5. Identify and implement consistent standards across validation findings and final model rating.

6. Develop, document, and maintain project milestones to ensure validation projects are completed on time.

7. Conduct periodic end-to-end audit of a validation project to assess potential gaps in quality.

8. Conduct hands-on evaluation of models proposed by the company's risk and business units. This includes assessing model risks by performing detailed model validation reviews, evaluating performance thresholds, researching model approaches and creating alternative models.

9. Communicate findings to model owners and management, and ensure those findings are addressed appropriately.

Required Knowledge/Skills:

- Strong attention to details, action, and solution-focused. Ability to focus on deadlines and deliverables; able to grasp the - big picture- and how the details fit into the overall goal.

- Excellent project management, time management and communication skills.

- A good understanding of statistical principles (e.g. estimation, hypothesis testing) and modeling techniques (e.g. OLS, logistic regression, time series analyses).

- Strong conceptual and technical knowledge of risk concepts and quantitative modeling techniques.

- Recent programming knowledge in SAS or R is required.

- Experience in CCAR model development/validation is highly preferred.

- Understanding of regulatory requirements such as US Final Rules, CCAR/DFAST, SR 15-18/19, and SR11-7 is highly preferred.

Requirements

- 7+ years of relevant hands-on Quality Assurance experience/ Modelling/Model validation experience in financial services.

- MS or MA in a quantitative field, or MBA with a quantitative focus.

Tejaswini
Sr. Recruiter
Credence HR Services