Responsibilities:

• Work with a team of Quantitative Modelers who are building, enhancing and validating bank wide credit models (risk metrics and risk analytics) and  (Model Performance, Risk Weighted Assets, Capital Optimization)
• Design, Develop and Manage new programs to monitor and assess model risk management at the bank
• Review the banks fair value measurement models
• Develop close working relationships with senior business unit heads and various regulatory agencies
• Work across the bank to implement new risk governance and risk policies
• Act as Subject Matter Expert on corporate default models related to mandated regulatory timelines: (Basel, CCAR)
• Represent the bank as the Corporate Default Model Risk expert and spokesperson to the regulators

Requirements:

• Minimum of 6+ years working on Bank Wide Model Risk Development, Model Review, Model Validation and Model Risk Governance
• Must have experience with corporate default prediction models
• Must have proven experience working on valuation and risk measurement models
• Must have deep knowledge of fixed income markets including (MBS, ABS, CMBS, Derivatives and residential mortgage loans)
• Must have experience applying current accounting rules FAS 133 to valuation and financial models
• Must be able to manage multiple Model Risk Modeling projects and complete these projects in a time-sensitive environment
• Must be able to work across multiple business lines and managing expectations
• Must have superior written and oral communication skills to lead meetings and discussions with both senior internal management and external regulators
• Must have current experience working on Basel II and Basel III modeling techniques, bank capital adequacy models, Market Risk Models and Risk Weighted Assets analytics.

Keywords: Corporate Default Models, Model Governance, Model Development, Stress Testing, Basel II, Basel III, Risk Weighted Assets, Capital Adequacy

Please refer to Job 23222 - and send MS Word attached resume to Jim Geiger, jeg@analyticrecruiting.com | For More Opportunities Visit www.analyticrecruiting.com