American Express Company seeks a Director - Basel Model Validation, to oversee model inventory and classification of Economic Capital and Basel models into importance tiers. Validate Economic Capital and Basel models, including evaluation of conceptual soundness, performance validation, and ongoing monitoring. Document detailed model and algorithm validation reports and prepare for regular regulatory and internal audit reviews. Conduct research to enhance model validation process and techniques.
Position requires a Master’s degree in Statistics, Mathematics, Economics, Engineering, or a related field, and 2 years of experience with building and validating credit risk models for individual or institutional portfolios. Experience with credit analysis, multivariate analysis, and statistical and econometric modeling in the credit card industry is required. Must demonstrate experience with regulatory agencies to address queries. Experience with retail or wholesale Basel model development and validation is required. Must demonstrate experience with statistical and analytical software packages, including SAS and R, as well as quantitative techniques, including linear and logistic regression analysis, hypothesis tests, and bootstrapping analysis. Project management experience is required.
Job location: New York, New York.
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