Description

Financial Institutions routinely use models for a broad range of activities including estimating fair value of assets, identifying and measuring risk, hedging derivative positions, conducting stress testing, assessing capital adequacy, etc. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage. As part of the firms model risk management function, Model Risk Governance and Review (MRGR) is charged with performing model validation activities, providing guidance on a models appropriate usage in the business context, evaluating ongoing model performance testing, and ensuring that model users are aware of the model strengths and limitations. Model manager roles within MGG provide attractive career paths for model development and model validation quants in a dynamic setting working closely with Front Office Trading Desks, Model Developers, Portfolio Managers or Quantitative Strategists, and Risk and Finance professionals, where they act as key stakeholders on day-to-day model-related risk management decisions.

Role and Responsibilities

• Core responsibilities: The successful candidate will be a member of the MRGR team covering Asset and Wealth Management (AWM) line of business (LOB) of the firm. The candidate will be performing model risk management related activities for models developed and/or used by the AWM LOB, which include, but are not limited to, excess return generating models, portfolio risk management models, and portfolio construction models. The candidate will focus on the following areas on his day-to-day job: Engage in validation activities for models in the coverage area to provide comprehensive evaluation regarding areas such as conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics; and risk measures associated with use of model. Review and opine on enhancements and extension of scope to existing models. Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices and industry standards. Coordinate with the New York team and stakeholders from different areas inside the firm to ensure model risk is appropriately managed.