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A top bank is seeking a Director of Credit Risk Analytics which will be a seasoned quantitative risk professional with hands-on modeling experience in either a development of validation capacity, combined with advanced working experience with languages like R, Matlab, Python, C++, SAS, and/or SQL. This qualified individual will assume responsibility for the continued enhancement of the bank's Model Risk Management program through an effective challenge, review, and oversight.
The Director of Credit Risk Analyticswill be responsible for...
Assume responsibility for the validation efforts of the bank's Credit Risk and BAU models
Lead reviews of conceptual soundness, assumptions, theory, estimations, and limitations of the model being validated
Act as an advisory figure for business lines, relaying validation findings and helping to achieve strategic organizational goals.
Take ownership of the identification and quantification of model risk for the relative model being validated
Perform ad-hoc Model Risk Management activities as necessary
Create publications and technical documents for the model being reviewed/validated
Partner with key stakeholder and develop key relationships with working groups such as model owners, users, and business leaders to ensure effective coverage for the MRM program.
Director of Credit Risk Analyticsshould have the following qualifications...
Masters or Ph.D. in Quantitative Discipline, Economics, Statistics,
Prior experience with Model Validation or Development
Advanced understanding of languages such a C++, Matlab, R, Python, SAS and/or SQL
Experience with Machine Learning Algorithms is a plus