Financial Institutions routinely use models for a broad range of activities including analyzing business strategies, informing business decisions, identifying and measuring risk, valuing exposures or instruments, hedging derivative positions, conducting stress testing, assessing capital adequacy, managing clients assets, informing investment process, measuring compliance with internal limits, maintaining the formal control apparatus of the bank, meeting financial or regulatory reporting requirements and issuing public disclosures.
Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.
As part of the firm s model risk management function, the Model Governance Group (MGG) is charged with developing model risk policy and control procedures, performing model validation activities, providing guidance on a model s appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations.
Core responsibilities :
The successful candidate will focus on the following activities :
Essential skills, experience, and qualifications :
The successful candidate will have the following skills, experience, and qualifications :
Quantitative background ideally with a Master s degree in Maths, Science, Engineering, Statistics, Quant Finance etc
Strong quantitative, analytical, and problem solving skills; knowledge of probability theory, statistics, mathematical finance, econometrics, numerical methods
Knowledge of Mortgage-Backed Securities and statistical modelling
Knowledge of finance industry, particularly in modeling- valuation, risk, capital, forecasting, investment management
Experience in model validation and / or model development preferred
Strong communication and interpersonal skills
Strong project management and organizational skills; ability to multi-task and meet deadlines
Ability to work independently, with remote supervision
Risk and control mindset : ability to ask incisive questions, assess materiality and escalate issues