As part of Corporate Risk Management, the Director of the Model Validation unit will oversee and perform independent validation of models used throughout the global enterprise. This includes models used in derivatives, structured, alternatives, credit risk and other complex investment related models. Other models include, cash flow testing, asset-liability management, Economic Capital, Risk Based Capital and pricing. The Director will report into the Vice President of Model Validation.
Develop strategic validation plans.
Verify model performance and use, (i.e. correct implementation, limitations, simplifications, response to stress/extreme input conditions).
Assess the mathematical, statistical, theoretical and conceptual soundness of each model; effectively challenge model assumptions, inputs, methodologies and output.
Evaluate industry practices and compare to current state to challenge solutions (models, data and software) model use.
Test model output through building of challenger models, back testing, sensitivity analysis or stress testing as applicable.
Evaluate internal and/or external model documentation to assess compliance with the Enterprise Model Risk Governance Policy.
Assess data sources and quality.
Identify gaps in the model and process and prepare recommendations for inclusion in the model risk report.
Draft validation reports that address results of the review and testing performed calling attention to areas of concern, and/or uncertainty along with suggested remediation.
Perform reviews of the annual model risk assessment rating and challenge model owner ratings.
Essential Business Experience and Technical Skills:
Bachelor's degree in mathematics, statistics, actuarial science or Finance.
10+ years of experience in developing and validating complex investment and insurance models.
FSA, Master Degree or PhD preferred (or other advanced degrees).
Competency in high level programming languages such as C++, Numerix, MatLab and other asset modeling platforms. Knowledge of actuarial software is a plus.
Strong financial engineering background with in-depth experience in derivatives, securitized assets modeling and other complex assets.
Ability to influence others.
Strong analytical skills of complex models and products.
Excellent verbal and written communication skills.
Ability to manage multiple projects.
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