Model Risk Manager Corporate Default Models

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Analytic Recruiting Inc.
  • 15 Apr 19

Major financial firm in NYC is looking for a Model Risk Manager to join a team that reviews the banks models used for market, credit and operational risk exposure.

Responsibilities:

  • Work with a team of Quantitative Modelers who are building, enhancing and validating bank wide credit models (risk metrics and risk analytics) and  (Model Performance, Risk Weighted Assets, Capital Optimization)
  • Design, Develop and Manage new programs to monitor and assess model risk management at the bank
  • Review the banks fair value measurement models
  • Develop close working relationships with senior business unit heads and various regulatory agencies
  • Work across the bank to implement new risk governance and risk policies
  • Act as Subject Matter Expert on corporate default models related to mandated regulatory timelines: (Basel, CCAR)
  • Represent the bank as the Corporate Default Model Risk expert and spokesperson to the regulators

Requirements:

  • Minimum of 6+ years working on Bank Wide Model Risk Development, Model Review, Model Validation and Model Risk Governance
  • Must have experience with corporate default prediction models
  • Must have proven experience working on valuation and risk measurement models
  • Must have deep knowledge of fixed income markets including (MBS, ABS, CMBS, Derivatives and residential mortgage loans)
  • Must have experience applying current accounting rules FAS 133 to valuation and financial models
  • Must be able to manage multiple Model Risk Modeling projects and complete these projects in a time-sensitive environment
  • Must be able to work across multiple business lines and managing expectations
  • Must have superior written and oral communication skills to lead meetings and discussions with both senior internal management and external regulators
  • Must have current experience working on Basel II and Basel III modeling techniques, bank capital adequacy models, Market Risk Models and Risk Weighted Assets analytics.

Keywords: Corporate Default Models, Model Governance, Model Development, Stress Testing, Basel II, Basel III, Risk Weighted Assets, Capital Adequacy

Please refer to Job 23222 - and send MS Word attached resume to Jim Geiger, jeg@analyticrecruiting.com | For More Opportunities Visit www.analyticrecruiting.com