As part of the firm s model risk management function, Model Governance Group (MGG) is charged with 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.
Model manager roles within MGG provide attractive career paths for model development and model validation quants in a dynamic setting working closely with Front Office Trading Desks, Desk Quants or Model Developers, Risk and Finance professionals, where they act as key stakeholders on day-
to-day model-related risk management decisions. Core responsibilities : The successful candidate will be a member of the MGG Group covering key Corporate functions of the bank which include Treasury activities, Structural Interest Rate hedging, Bank Fixed income portfolio management, Liquidity and Balance sheet management, and will focus on the following activities :
Engage in validation activities models in the coverage area - evaluate conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs;
completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of model.
Review and approve enhancements to existing models, extensions to scope of existing models, and use of approximate bookings.
Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards
Strong quantitative & analytical skills : The role requires a strong quantitative background based on a PhD or Master s Degree (or equivalent) in a quantitative discipline such as Math, Science, Economics, Engineering, Quantitative / Math Finance, etc.
Domain expertize in one or more of these areas : Interest Rate models, securitized products, CCAR & regulatory capital, probability theory, econometrics, statistics, and numerical methods
Prior experience in following backgrounds (minimum experience is 5 Years) : Quantitative Model Development, Model Validation, Trading or Structuring, Market / Credit Risk Management
Strong communication skills and ability to interface with other functional areas in the bank on model-related issues
Risk and control mindset : ability to ask incisive questions, converge on critical matters, assess materiality and escalate issues