Reference #: W5331
Support the market risk management model quality assurance function of a major global investment bank
- Perform targeted Quality Assurance review across all model categories to ensure consistent application of standards.
- Work closely with Model Developers and Reviewers to remediate identified inconsistencies against standards.
- Monitor and track progress towards remediation of identified inconsistencies
- Work closely with the MRM governance team to provide feedback in terms of improvements to current policies and procedures
- Identify and promote best practices to strengthen quality of validation review and prevent inconsistencies through communication with and training for Model Developers and Model Reviewers
- Manage communication requirements and prepare/present status update
- 7+ years of quantitative experience within oversight of model development and validation standards in financial services
- Understanding of relevant regulatory requirements (e.g. SR 11-7 or SR 15-18)
- Strong structured testing knowledge, including quality assurance testing processes and concepts
- Prior work experience in model risk management or internal audit
- Knowledge and experience of CCAR/DFAST processes
- Excellent organizational, analytical and problem solving, as well as communication skills
- D. or master’s Degree in a technical field such as, Mathematics, Statistics, Econometrics, Operations Research