| Job ID: | Job-0965 | | Job Title: | Head of Model Risk Management | | location: | NYC, moving to Jersey City in Jan 2013 | | Jobtype: | Permanent | | Description: | The position Starts in NYC and moves to Jersey City, NJ in January 2013
The Head of Model Risk Management is responsible for all aspects of model risk management
Principal Responsibilities:
• Manage the MRM team
• Interface with the Regulators on all aspects of model validation and reporting
• Work with Product Risk, senior management, and Internal Audit on all issues of model risk management
• Maintain model validation schedule
• Coordinate and oversee model validation projects performed by independent vendors
• Maintain Model Inventory, perform its quarterly certification
• Maintain Model Methodology Documentation Inventory, ensure its compliance with ERM’s policies and procedures
• Conduct model performance analysis, produce model performance reports
• Perform threshold monitoring and reporting, parameter calibration reporting, model assumption analysis
• Track model changes and model issues
• Perform Annual Model Review
Experience:
10+ years of experience in quantitative financial analysis and modeling, experience managing a quant team
Knowledge and Skills Required:
• Broad expertise in quantitative finance with particular emphasis on valuation models (curve building methodologies, term structure models, option models, credit models), and risk management models and methodologies (greeks, VaR, back testing)
• Expertise in all aspects of model risk management
• Deep understanding of the regulatory environment surrounding model risk management
• Strong management and leadership skills
• Excellent written and oral communication and presentation skills, ability to communicate quantitative concepts to financial professionals
• Ability to operate autonomously, as well as be an effective member of a broader team.
• Strong mathematical background, especially in probability theory, stochastic processes, and PDE’s
• Econometric modeling and applied statistics skills (i.e. estimation, time series modeling, Monte Carlo simulation techniques, etc.).
• High level of computer literacy, ability to work effectively with Matlab, R, Excel, SQL
Education, Training &/or Certification:
Advanced degree in a quantitative discipline (Mathematics, Statistics, Finance, Physics, Engineering, etc) from a major university | |
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