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
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, email@example.com | For More Opportunities Visit www.analyticrecruiting.com
Internal Number: 5466357
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