Model Risk (Risk Management)

Full Job Description

Model Risk (Risk Management)

Job Number:


POSTING DATE: Sep 27, 2021

PRIMARY LOCATION: Americas-United States of America-New York-New York

EDUCATION LEVEL: Master’s Degree

JOB: Model Risk


JOB LEVEL: Executive Director


Mortgage and Deposit Pricing Models Coverage Head

Background on the Position

This role will reside within Firm Risk Management’s Model Risk Management team responsible for the Firm’s management of risks related to the implementation and use of models, covering all aspects of the Firm’s businesses and implementing key regulatory requirements. This position requires strong technical, leadership, and organizational skills.

Primary Responsibilities

Oversee the independent review and model validation of Mortgage pricing models (lending and securitization), Deposit pricing models and corresponding risk models, compliant with Model Risk Management policies and procedures, regulatory guidance, and industry leading practice

Managing global team within Model Risk Management, organizing schedules of deliverables and meeting deliverable due dates, and escalating issues

Communicate model validation conclusions to senior management and relevant stakeholders

Write high-quality validation documentation that satisfies the firm?s internal model approval functions, audit requirements, and regulatory standards

Represent Model Risk Management team in interactions with regulatory agencies


Skills Required

Degree in a quantitative discipline (such as Financial Engineering, Computational Finance, Mathematical Finance, Math/Statistics, Computer Science, Physics, or related fields)

Familiarity with essential quantitative techniques used in financial models

Strong written and verbal communication skills. Must be comfortable leading meetings and making formal presentations.

Skills Desired

Prior experience with developing or validating deposit and mortgage models. Examples include models for jumbo and securitized mortgages as well as models for deposits or savings

Desire to work in a dynamic, team-oriented environment focusing on challenging tasks mixing fundamental, quantitative, and market-oriented knowledge and skills

Quantitative programming skills (e.g. Python, R, etc.)

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