Director of Model Risk & Validation
Company Name:
Numeric Recruiting and Staffing
The Director of Model Risk & Validation is responsible for the ongoing assessment of the MRM framework with respect to regulatory guidelines and expectations. Including enterprise-wide oversight responsibility for all aspects of model risk including model governance, model validation and model performance monitoring. Direct the validation and approval of all qualifying models used across different areas of the enterprise. The scope of this position includes leading a team responsible for model validation, risk assessment, model inventory management, model disclosures, model usage tracking and controls.
oDirect and lead the execution of model validation and governance programs that include:
oo Independent testing of model inputs and assumptions, framework, methodology, performance, implementation and limitations of the model being validated
oo Developing model prototypes and simple replications to ensure model's accuracy and soundness
oo Documenting the results of the model validation, including observations and findings, to model owners and users, and recommending remedial action plans
oo Tracking the resolution of findings with model owners and users
oo Supporting development of comprehensive documentation of financial models to achieve compliance with regulatory standards
oo Produce reports to track validation status and results for management and regulators
oo Employ technical expertise and analytic acumen to provide high quality deliverables in a fast paced risk management environment
oInterpret model validation test results and establish required action plans with model owners and developers to remediate findings. Provide value-added recommendations to model owners and developers
oInterface with business partners in Credit Risk, Finance & Treasury, Marketing, Banking, Consumer Loans and Business Technology
oInteract with Executive Management, the Board of Directors, the Office of the Comptroller of the Currency and the Federal Reserve Bank of New York with respect to the model risk validation and governance program
oManage the relationship with the model validation co-sourced provider
oDevelop and Maintain Budgets, Expenditures and Allocations
REQUIREMENTS
oMasters or equivalent quantitative fields like economics, statistics, finance, operation research, etc.
oPhD preferred
oAt least 8-10 years of experience in developing, testing, implementing and validating complex and sophisticated financial, econometric and statistical models in credit card, consumer lending or payments industry.
oBackground in mathematical finance and experience in model review and validation in the financial industry is strongly preferred.
oAbility to work effectively in a high pressure, fast paced environment with multiple deadlines and competing priorities
oKnowledge of current regulations and guidelines. Experience working with regulators, auditors, and compliance including familiarity with OCC 2011-12
oIn depth experience and understanding of statistical modeling concepts (logistic and GLM, decision tree, and neural network) or financial modeling concepts (e.g., multi-factor regression models, time series analysis, VaR, Markov chains, Monte-Carlo analysis, etc.)Estimated Salary: $20 to $28 per hour based on qualifications.
Numeric Recruiting and Staffing
The Director of Model Risk & Validation is responsible for the ongoing assessment of the MRM framework with respect to regulatory guidelines and expectations. Including enterprise-wide oversight responsibility for all aspects of model risk including model governance, model validation and model performance monitoring. Direct the validation and approval of all qualifying models used across different areas of the enterprise. The scope of this position includes leading a team responsible for model validation, risk assessment, model inventory management, model disclosures, model usage tracking and controls.
oDirect and lead the execution of model validation and governance programs that include:
oo Independent testing of model inputs and assumptions, framework, methodology, performance, implementation and limitations of the model being validated
oo Developing model prototypes and simple replications to ensure model's accuracy and soundness
oo Documenting the results of the model validation, including observations and findings, to model owners and users, and recommending remedial action plans
oo Tracking the resolution of findings with model owners and users
oo Supporting development of comprehensive documentation of financial models to achieve compliance with regulatory standards
oo Produce reports to track validation status and results for management and regulators
oo Employ technical expertise and analytic acumen to provide high quality deliverables in a fast paced risk management environment
oInterpret model validation test results and establish required action plans with model owners and developers to remediate findings. Provide value-added recommendations to model owners and developers
oInterface with business partners in Credit Risk, Finance & Treasury, Marketing, Banking, Consumer Loans and Business Technology
oInteract with Executive Management, the Board of Directors, the Office of the Comptroller of the Currency and the Federal Reserve Bank of New York with respect to the model risk validation and governance program
oManage the relationship with the model validation co-sourced provider
oDevelop and Maintain Budgets, Expenditures and Allocations
REQUIREMENTS
oMasters or equivalent quantitative fields like economics, statistics, finance, operation research, etc.
oPhD preferred
oAt least 8-10 years of experience in developing, testing, implementing and validating complex and sophisticated financial, econometric and statistical models in credit card, consumer lending or payments industry.
oBackground in mathematical finance and experience in model review and validation in the financial industry is strongly preferred.
oAbility to work effectively in a high pressure, fast paced environment with multiple deadlines and competing priorities
oKnowledge of current regulations and guidelines. Experience working with regulators, auditors, and compliance including familiarity with OCC 2011-12
oIn depth experience and understanding of statistical modeling concepts (logistic and GLM, decision tree, and neural network) or financial modeling concepts (e.g., multi-factor regression models, time series analysis, VaR, Markov chains, Monte-Carlo analysis, etc.)Estimated Salary: $20 to $28 per hour based on qualifications.
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