Validates, tests, documents, and/or oversees usage of complex statistical and/or financial models. This role is within the capital markets model validation group. Capital markets model validation validates models related to derivatives pricing, fixed income, market risk, counterparty credit risk, wealth management and mortgage finance. Specific results focus on documentation, testing and challenge of advanced quantitative models and communicating validation results to stakeholders within the Bank. Deliverables include the creation of model validation documentation such as: presentations, written reports, testing code, and procedures. The role will proactively identify key model assumptions, limitations and weaknesses and ensure satisfactory remediation of model related issues by development. The role is expected to develop benchmark methodologies and approaches to effectively challenge model construction.
- Bachelor's degree in a quantitative field, and 10 or more years of experience in statistical modeling OR
- Master's or PhD degree in a quantitative field, and six or more years of experience in statistical modeling
- Advanced understanding of applicable laws, regulations, financial services, and regulatory trends that affect assigned line of business (OCC 2011-12, SR 11-7, OCC 2011-30, SR-15-18)
- 4+ years of experience on a model development or validation team at a large financial institution
- Experience working on a SOFR transition/ FRTB implementation.
- Demonstrated domain expertise in one or more of the following asset classes: Interest Rate Derivatives, Credit, FX, Fixed Income, and/or MSR Valuation.
- Strong modeling background based on technical training or advanced education in a quantitative field
- Considerable knowledge of various regression techniques, parametric and non-parametric algorithms, times series techniques, and other statistical models, various model validation tests/methodologies
- Strong data compilation, programming skills (Python, R, Matlab, C++) and qualitative analysis skills.
- Working knowledge of desk operations and risk management activities.
- Advanced knowledge of market risk and counterparty credit risk concepts.
- Experience in a front office or market risk management group is a plus
- Demonstrated independence, team work and leadership skills
- Strong project management skills
- Excellent written and verbal communication skills