Model Risk Senior Analyst – Validation [Multiple positions available]
$155,472–$165,472 year
On-siteNew York City, New York, United States
Job Summary
Conduct independent review and validation of selected models across the Bank, assessing risk, validating specific categories, and ensuring compliance with SR 11-07. Use SAS, SQL, Python, and R to extract and analyze data for capital stress testing, risk measurement, pricing, credit loss forecasting, and management decision-making. Independently evaluate theoretical basis, performance, monitoring, assumptions, and implementation while reviewing remediations for identified findings. Compose validation reports and memos detailing effective challenges, gaps, and findings. Collaborate with team leads and lines of business including Credit Risk, Finance, and Treasury to manage model risk and maintain internal control standards.
Required Qualifications
- Master's degree (or foreign equivalent) in Mathematics, Statistics, Quantitative Finance, Economics, or a related field of study
- Five (5) years of experience in the job offered or as a Model Validation Manager, Model Risk Management Analyst, Model Developer, or related occupation
- Five (5) years of experience performing validations of credit models or liquidity models
- Five (5) years of experience working with regulator's requirement of capital stress testing
- Five (5) years of experience evaluating model's performance and fit for stress testing usage, using well designed shocks from relevant economic factors, and working with specific independent variables and stress scenarios
- Five (5) years of experience building logistic regression models, linear regression models, and time series models assessing their assumptions and performance
- Five (5) years of experience using SQL, SAS, and Python to pull data, analyze data, assess data quality, estimate model parameters for logistic regression, linear regression and time series models
- Five (5) years of experience using SAS or Python to assess model and business assumptions and ongoing model performance
- Position requires in-office work four (4) days every week
- Location New York, New York, United States of America
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