Our client, a premier International Bank, is seeking a Senior Manager of Enterprise Model Risk to lead the management of all mathematical models related to CCAR stress testing.
JOB DESCRIPTION
Examine, approve, and replicate various CCAR models.
Advise and challenge model developers on all CCAR modeling requirements.
Inform EMRM of all proper documentation of the models’ business purpose and context.
Comply with regulatory policies, guidelines and procedures pertaining to model risk.
Assess, document, and validate mathematical models by engaging model builders and related personnel.
Use econometric models and statistical forecasting to complete time series analysis.
Understand the flow and context of the business’s model usage.
Make sure that model users follow the company’s model risk policy.
QUALIFICATIONS
5+ years of mathematical modeling experience in a similar role (Strong academic/publication background may qualify)
Exceptional knowledge of risk models and derivatives pricing for main product types and expansive exposure to quantitative risk management methodology.
Familiar with American and Canadian financial regulatory requirements and guidelines.
Solid communication and interpersonal skills.
Graduate degree in a quantitative field
Preferred background with CCAR modeling/stress testing, econometrics, and financial forecasting models.
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