The QAG team comprises of 8 to 10 staff with quantitative skills. The group’s responsibility is to provide an effective 3rd line of defense in the firm’s model control environment which includes reviewing effectiveness of model development and validation activities relating to pricing, risk, capital and decision making models across the firm.
Watch: Career Advice
-Review Capital Planning and CCAR models development and validation in the context of pricing, Market Risk, Credit Risk, and Operational Risk modeling
-Act as Capital Planning and CCAR lead on model risk to assess model development and model validation efforts
-Manage Capital Planning and CCAR assessment of model risk throughout the year and ensure on-time delivery of projects and quality control
-Interact and maintain relations with internal clients (model developers and model validators) and regulators
QUALIFICATIONS
Skills required (essential)
-MS/Ph.D level of education
-3+ year of experience in quantitative finance
-Hands-on model development or validation experience related to CCAR for stress loss modelling or Scenario Design
-Monitor CCAR model development and validation efforts and provide independent assessment against regulatory expectations on model risk
-Exposure to wide variety of trading products and derivatives, risk analytics, numerical methods and regulatory requirements
Skills desired
-Detailed knowledge and experience of model development/validation for CCAR purposes related to risk/pricing models across multiple asset classes
-Manage projects to ensure on-time delivery and quality control.
-Interact and maintain relations with regulators and internal clients.
-Provide Subject Matter Expert support within the department on financial derivatives, risk analytics in other Internal Audit engagements.
Send To A Friend
Posts
