Financial Model Risk Manager
1 day ago
About the Role
We are seeking a highly skilled Financial Model Risk Manager to join our team at Acuity Knowledge Partners. As a key member of our team, you will be responsible for ensuring the integrity and accuracy of financial models used by leading financial institutions.
Key Responsibilities
- Gain a deep understanding of the model inventory and the model risk management framework and lifecycle of the client
- Validate CCAR Stress Testing for PPNR, balance sheet, scenario design and loss forecasting models used for internal risk management and provisioning as well as regulatory submissions
- Assess the data requirements of the model, assumptions, and model methodology, analyze model outcomes, track ongoing model performance, and run stress tests on models based on company-specific or regulatory stressed economic scenarios
- Provide guidance to model owners for remediation of issues identified during validation to achieve MRM policy adherence
- Support the development of best practices for model validation, assessment, and documentation
- Mentor junior quantitative analysts and conduct training sessions on mathematical modelling, quantitative analytics, and risk management
Qualifications
- Master's degree in STEM field from a Tier 1 college
- Experience with CCAR modelling in an applied setting
- Working knowledge of Stochastic Calculus, Linear Algebra, Differential Equations, Statistics, Simulation, Computational Methods, and Numerical Analysis
- Strong knowledge of mathematical techniques used in the development of VaR computation, Risk Charge calculations, Tail Risk modelling
- Well-versed in regression modelling (Multiple Linear, Logistic, Polynomial, Beta, Poisson, and Time Series) as well as regularization techniques used in regression such as Ridge/Lasso/Elastic Net
- Proficient in one of R/Python and MS Excel
Estimated Salary: $120,000 - $180,000 per annum, depending on location and experience. We offer a competitive benefits package and opportunities for professional growth and development.
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