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A prominent global bank is currently seeking a driven Risk Models Validation Manager to join their team in New York. This manager will be responsible for managing and validating risk models covering Credit Risk, Counter-party Credit Risk, Liquidity Risk, Operational Risk and Structured Risk Models to properly evaluate the strength of the models, ensure appropriate risk capital and measure losses for business and regulatory requirements. This bank is highly regarded in terms of being keen on diversity and fostering an inclusive environment demanding respect and thus encouraging hard work and achieving strong results.
Monitor model risk throughout the model life-cycle including validation and continuously monitoring and re-valuating, leading annual model reviews.
Mentor and provide assistance to junior validators as needed.
Supervise stakeholder interaction with developers and business owners throughout the model life-cycle.
Present validation results to senior management and supervisory authorities.
Challenge assumptions, mathematical formulation and implementation.
Evaluate and quantify model risk from limitations and communicate to stakeholders regarding their risk profile. Create compensating controls.
Partake in strategic initiatives within the organization.
Minimum of a Master's degree in a quantitative field such as Computer Science, Mathematics or Physics.
Less experience can be considering for candidates with certifications such as a PhD, a second Master's degree, CPA or CFA.
Thorough knowledge on Calculus, Linear Algebra, Numerical Analysis and Statistics.
Comprehensive understanding of Basel/CCAR regulatory requirements, financial products, pricing methodologies and risk management.
Experience with statistical modeling and databases or risk management.
Thorough understanding of various model development and validation testing techniques on risk models.
Programming skills within c/C++, SAS, Python, R, Matlab, Java, Oracle and SQL.