Model Risk Analyst
Role Overview
The position focuses on evaluating model risk through validations, reviews, and ongoing analysis within an enterprise risk management framework. The role involves assessing financial models for accuracy, weaknesses, and compliance with regulatory standards, while collaborating with stakeholders across the organization.
Key Responsibilities
- Validate various financial models (e.g., credit risk, interest rate derivatives, mortgage prepayment/default, asset-liability management).
- Perform quantitative analyses, backtesting, benchmarking, stress testing, and review model documentation and controls.
- Prepare validation reports and present findings to stakeholders.
- Develop benchmarking tools and machine learning models for performance monitoring.
- Provide independent opinions and recommend remediation actions.
- Support third-party validations, audits, and regulatory reviews.
- Maintain model inventory, track validation findings, and produce risk reports.
- Stay current on best practices, market trends, and regulatory guidance.
Qualifications
- Advanced degree in a quantitative discipline (Finance, Statistics, Mathematics, Computer Science, Economics).
- Knowledge of financial markets, fixed-income instruments, risk metrics, and modeling techniques (e.g., stochastic processes, Monte Carlo simulation).
- Proficiency in Python (preferred) or similar languages; experience with machine learning and valuation tools desirable.
- Strong communication skills and ability to write clear technical reports.
- Familiarity with regulatory guidance on model risk management.
FAQs
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