Associate Director: Balance & PPNR Model Risk Management

Your role
Do you enjoy developing CCAR and PPNR financial models? Do you have a knack for challenging current state processes and identifying risks? We are looking for someone like you to:

• Full validation of all CCAR "Estimation Approach" for balance and PPNR projections, including but not limited to on-balance sheet and off balance sheet balances, expenses, Net Interest Income, Non Interest Revenue, transfer pricing etc. The Estimation Approaches will include Quantitative Models, Qualitative Estimates and Overlays. Validation will include review of the data, code and documentation from the model developers, replicate the code, attempt to enhance the Estimation Approaches, document the validation report etc.
• Conceptual Soundness: In case an Estimation Approach cannot be fully validated due to other prioritization, a Conceptual Soundness review of the Estimation Approaches is required. Please refer to SR 15-18 and SR 11-7 for more background on Conceptual Soundness
• Review of Remediation of Signoff Conditions: The team will be responsible to review the remediation work done by the model development teams to ensure that the issues raised by MRMC are remediated.
• Review of Implementation of the models: One key aspect of Model Validation is the review of model implementation. This is specifically being called out here as in many case, the focus of independent validation is on the methodology. However for MRMC US, the emphasis in validation is equally on methodology and implementation of those Estimation Approaches.
• Review of Model monitoring and confirmations: While the first three above are applicable for newly developed and redeveloped models, other Estimation Approaches will require annual confirmations (often referred to as model monitoring) to ensure that the model risk is within the Bank's Risk Appetite.
Your experience and skills
You have:

• Masters or PhD in quantitative analytics, financial statistics or relevant equivalent
• At least 2-3 years of professional experience at a large financial institution in a quantitative or financial modelling role
• Strong quantitative skills with in depth experience in at least two of the following languages: R, SAS, Matlab and Python
• Experience working in a team setting and proven ability to follow strategic project plans

Stamford, CT, USA Stamford CT US