VP - Investment, Finance & Risk - Prudential - Newark

Job description

The mission of Enterprise Risk Management (ERM) is to ensure that Prudential has a comprehensive framework for understanding the risks embedded in and across its businesses, so that the company can manage these risks effectively, evaluate current and future risk challenges and opportunities, and enhance shareholder value.

The Company recognizes that the comprehensive risk management framework requires strong model risk oversight and model risk management, and is forming a new Model Risk Management Organization that will include three teams: (1) Actuarial Model Risk Management, (2) Investment, Finance and Risk Model Risk Management, and (3) Model Risk Control Office. The primary objectives of this Model Risk Management Group will be to provide effective challenge, manage and mitigate model risks, and maintain model inventory, risk assessment and model control standards.

This position will be part of the new Investment, Finance and Risk Model Risk Management team responsible for ensuring that Prudential is capable of accurately identifying, measuring, reporting, monitoring and managing the Company’s model risks. This will include development and implementation of independent model validation and testing of critical and high risk investment, finance and risk models. This position will also encompass monitoring model control standards, performing risk assessment and managing model use limits, risk mitigation and remediation in partnership with the Actuarial Model Risk Management team and the Model Risk Control Office.

To effectively manage these responsibilities, the successful candidate will work both independently and collaborate as part of a team with significant dependence on relationships with internal audit, corporate actuarial, business unit actuaries, the treasurer’s group, portfolio managers, finance, investment operations and analytical software vendors.

This individual will be responsible for:

1. Governance and Oversight: Supporting the Company-wide implementation and operation of the Model Risk Management Policy with appropriate communication to all key stakeholders. This will include model risk appetite, model policy requirements, and escalation process to manage model risk issues.

Model Control Standards: Supporting plans and activities related to modeling systems and model risk activities across the Company to ensure consistency and transparency of modeling direction, vision, strategy, and appropriate governance controls.
Model Validation & Testing: Conducting independent periodic model validation and testing of critical and high risk investment, finance and risk models. This will include review, effective challenge, and written documentation, including assessment of conceptual soundness, model performance/outcomes analysis, and appropriateness of model assumptions, data sources, mathematical formulas and business applications as well as communication of key model weaknesses and data limitations (e.g., inherent model imprecision).
Reporting: Supporting preparation of regular model risk status reports and reporting key observations and compliance/non-compliance with the model governance policy to Model Risk Oversight/Advisory Committee. This will include ensuring that emerging risks are identified and appropriately addressed.
Model Risk Mitigation & Remediation Efforts: Reviewing regulatory and internal audit assessments of model governance effectiveness and compliance, and implementation of model governance framework improvements as necessary; assisting with the follow-up on recommendations to ensure that they are implemented appropriately in a reasonable time frame.

Desired Skills and Experience

· Seven plus years’ experience in applied financial quantitative analytic techniques and asset valuation including facility for managing quantitative data applications with proven modeling and analytical skills.

· Solid understanding of stochastic modeling, regression analysis, multiple asset class and derivative valuation methodologies, risk/performance metrics and risk factor sensitivity calculations

· Experience conducting model validation for a financial institution would be highly desirable, particularly in an industry subject to Financial Industry Regulatory Authority (FINRA), Office of Thrift Supervision (OTS), Federal Reserve or other regulatory oversight

· Strong communication skills with ability to express complex ideas in business terms to inform senior management decision-making.

· Helpful to have knowledge of Prudential’s businesses and product offerings. Experience with insurance products would be a plus.

· Strong educational background in quantitative finance/financial engineering or another heavily quantitative discipline.

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