W1siziisimnvbxbpbgvkx3rozw1lx2fzc2v0cy9kq1cgl2pwzy9iyw5uzxitam9icy5qcgcixv0

VP - Senior Model Validation Analyst

VP - Senior Model Validation Analyst

  • Location

    New York, United States

  • Sector:

    Risk Management

  • Job type:

    Permanent

  • Salary:

    $120,000 - $155,000 + bonus

  • Contact:

    Corey Rague

  • Contact email:

    corey.rague@jcwresourcing.com

  • Job ref:

    55389

  • Published:

    6 months ago

  • Expiry date:

    2020-08-25

  • Consultant:

    #

JCW is currently working on a search for a VP Senior Model Validation Analyst with a leading international banking organization for their White Plains, NY location. The qualified candidate will play an active role in performing governance and independent validation of models including but not limited to credit risk, market risk, liquidity risk, valuation, and stress testing models. The role spans multiple aspects of model validation and model risk governance applicable to the portfolios of the firm and group companies in the U.S, Europe, and Asia.

Responsibilities include:

  • Develop robust quantitative validation methodology for qualifying models to confirm the conceptual soundness of model theory and implementation
  • Develop and apply model quality assessment and approval criteria to ensure the integrity of model implementation, inputs, outputs, and reporting
  • Apply numerical, statistical, and qualitative knowledge and skills to perform model validation
  • Summarize and present model validation results and findings to senior management
  • Guide Junior team members and oversee their validations

Position requirements:

  • Minimum of 6 years of relevant work experience in financial services industry in the quantitative space
  • Experience in credit risk model validation including PD, LGD, EAD models
  • In-depth knowledge in regulatory issues and economic capital models, specifically SR11-7
  • Advanced degree in a quantitative field such as economics, finance, statistics, mathematics, physics, engineering
  • Advanced programming skills in R or Python

Corey Rague recruits for Risk and Analytics professionals across the financial services sector and would be happy to provide further details about this or other positions. You can reach him at (646) 517-8533 or at corey.rague@jcwresourcing.com