• Financial Institutions routinely use models for a broad range of activities including credit underwriting, valuing financial instruments, measuring and managing risk, assessing the adequacy of reserves and capital resources, and many other applications. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.
• The Model Risk Group (MRG) is responsible for conducting model validation to help identify, measure, and mitigate Model Risk. The objective is to ensure that models are used appropriately in the business context and that model users are aware of the models’ strengths and limitations and how these can impact their decisions.
• Wholesale credit products such as commercial and industrial loans and commercial real estate loans are a core product for US Financial Institutions, involving extensive use of a variety of models: credit grading and pricing models at origination; financial forecast, risk measurement and hedging models applied to the risk inventory. Sound usage of the models requires a deep understanding of the wholesale credit products and marketplace and of the forecast models’ ability to predict corporate behavior and supply and demand of credit under different economic scenarios.
• MRG carries out model validation activities and works closely with Risk, Finance and LOB professionals to review findings, on-going model risk measurement and risk mitigating strategies.
• The successful candidate will be a member of the Model Risk Group and will work on the validation of scoring and forecast models used in connection with origination, valuation/allowance, risk and regulatory capital measurement (including usage in firm-wide risk aggregation and stress testing) and hedging.
• S/he will carry out model validation, including model reviews and model risk measurement:
o Model reviews: evaluate conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of model.
o Model risk measurement: design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks.
o Liaise with FO, Finance and Risk professionals to monitor usage and performance of the models and syndicate the findings of model validation.
Essential skills, experience, and qualifications:
• PhD or MS degree in a quantitative field such as Math, Economics (quantitative), Physics, Engineering or similar.
• Deep understanding of probability theory, econometrics, statistics, and numerical methods. Excellent analytical and problem solving abilities.
• 5-10 years of relevant working experience preferred.
• Thorough knowledge of at least one programming language such as Matlab, R, Python, C/C++, etc. is required
• Inquisitive nature, ability to ask right questions and escalate issues. Risk & Control mindset
• Excellent communication skills (written and verbal). Effective interaction with internal and external groups as well as producing documents for both internal and external (regulatory) consumption.