Model validation - Market Risk

About the role

The use of models presents model risk, which is the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports. Model risk can lead to financial loss, poor business and strategic decision-making, or damage to a banking organization’s reputation.

What you'll do

• Conduct end-to-end validation, including review of modeling methodologies, assumptions and limitations, risk factor mappings, historical data and proxy choices
• Design and execute independent testing and benchmarking, including sensitivity analysis, hypothetical/actual P&L backtesting, stress testing
• Support assessment of compliance with Americas Model Risk Management Policies and Procedures, U.S. regulatory expectations
• Engage with model development, market risk, front office, and technology teams to challenge methodologies, resolve validation findings
• Prepare clear and concise validation reports for senior management, model risk committees, auditors, and regulators

What you need

• 1–6 yrs of experience
• Market risk
• Risk management
• Statistics
• C++
• Python
• R
• PhD or MBA

Good to have

• Physics
• Performance testing