Model Risk, Officer
Why this role is important to us:
Corporate Audit Model Review Group provides model analytical support to audit engagements corporate wide. Quantitative analyst auditors assess the effectiveness of internal controls governing models, including model inputs, model methodology / framework/processing and model outputs, and evaluate if models are well-governed and perform as documented, in accordance with regulatory requirements in SR 11-7 and internal model risk management policies and standards. Responsibilities include and not limited to model code / excel formula review or test runs.
This Model Risk Quantitative Analyst auditor will perform independent model review and effective challenges on key assumptions and model limitations. He/she would support the US Model Review Group to expand coverage to the full spectrum of corporate model inventory on a sampling basis, with models in wholesale credit risk (probability of default, loss given default, exposure at default), interest rate risk (asset liability management - prepayment modeling, term structure models), market risk (VaR, sVaR), operational risk, liquidity risk and valuation of financial instruments, and so on. What you will be responsible for:
Education & Preferred Qualifications:
- Participate into audits according to a risk-based approach, recommend model specific internal control improvements that may include operational enhancements, document the review result and prepare audit reports.
- Perform independent model reviews, including and not limited to input data testing, a code review (for model implementation and documentation), model output review (back testing, sensitivity analysis, etc.) and model fitness and purpose evaluation. Document the review.
- Work with other auditors to assess data quality and their impact on the modeling process
- Facilitate effective communication and coordination with business management
- Communicate the identified model control deficiencies to business management, receive management actions and track the remediation of the deficiencies
- Ensure quality checks and controls including standardization of audit review testing and dissemination of feedback across team members
- Maintain a solid understanding of the financial risk management practices and techniques, and develop knowledge of the company's operation to ensure that model risks are appropriately identified, assessed and mitigated
- Undergraduate degree in Finance, Economics, Quantitative Finance or other quantitative areas such as mathematics, physics, electronic engineer and computer science
- Advanced degree (master / Ph.D.) from similar field (as the undergraduate degree) from top tier university (preferable US/European) , master minimum, PhD preferred
- At least 3 years' experience in model development or independent model validation or consulting experience within the financial service industry
- Professional certifications preferred; a CFA, CPA, and/or FRM is a plus
- Strong written and verbal English communication skills
- In-depth understanding of multivariate statistics; excellent quantitative modeling skills
- Understand the fat tail statistical distribution and associated estimation methods
- Knowledge of a statistical programming language such as SAS, Matlab, or R
- A strong understanding of financial theory
- Experienced in working large and complex data sets
- Good project management skills and demonstrated ability to work independently on multiple tasks and/or projects