Model Risk, Officer Model Risk, Officer …

State Street Corporation
in Hangzhou, Zhejiang Sheng, China
Permanent, Full time
Last application, 30 Mar 20
State Street Corporation
in Hangzhou, Zhejiang Sheng, China
Permanent, Full time
Last application, 30 Mar 20
State Street Corporation
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:
  • 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

Education & Preferred Qualifications:
  • 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
Company Overview

From technology and product innovation to corporate responsibility and community development, we're making our mark on the financial services industry. For more than two centuries, we've been helping our clients safeguard and steward the investments of millions of people - strengthening markets, building communities and creating opportunities for growth.

We owe that longevity to the commitment, expertise and creativity of our employees. Our continued success depends on our ability to attract and develop the best talent in the industry. That's why we're keenly focused on employee development, corporate citizenship and inclusion.

For us, success comes in the mark we make as an organization - for the industry, our clients, our communities and each other.