Consultant – Model Risk Management

Domain: Fintech
Career Path: RTech, DataBridge, AgileData, Connect
Type: Full Time preferred

Seniority: Mid senior level
Location: New York City

Skills

Model validation experience with an understanding of risk assessment processes and approaches

Knowledge of financial products and models used to price them

Solid knowledge of quantitative models as well as numerical methods.

Programming skills such as C/C++/C#, SAS, R, Python, Matlab, Database (Oracle, SQL…) …

Strong communication sills both orally and written

Team player who can excel in a challenging work environment with a desire to learn new thing and the ability to adapt to a changing environment.

Education

Master’s or PhD degree in a quantitative field (physics, mathematics, computer science, etc. is preferable)

Experience

Minimum 5+ years of statistical or modeling experience in financial services

Description

We are looking for an enthusiastic Model Risk Consultant to join one of our project teams working on a mission critical Model Validation program. The Model Risk Validator will be responsible for conducting independent validation of various types of models (mainly Stress testing, VaR/sVaR and PVA) used across the company in order to assess and quantify model risk.  This role will work cross-functionally within the organization including collaboration with business lines as well as key integral support units.

Coordinating and conducting model validation processes and monitoring in adherence with internal policies, procedures and regulatory guidelines.  Evaluating the models based on various aspects including model data, parameters, design and methodology, implementation and model documentation.

Essential Duties & Responsibilities

The Model Risk Validator’s responsibilities will include but are not limited to:

  • Verify the soundness of the modelling approach of the assumptions used.
  • Ensure the model is implemented properly.
  • Ensure compliance with the applicable governance, framework and policies are maintained.
  • Evaluate the quality of the input data used within the model
  • Monitor the model outputs and identify the potential limitations
  • Ensure corresponding documentation respects the firm standard and describes the model accurately

Consultant – Model Risk Management

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Arrayo is an Equal Employment Opportunity employer and as such does not discriminate against any applicant for employment or employee on the basis of race, color, religious creed, gender, age, marital status, sexual orientation, national origin, disability, veteran status or any other classification protected by applicable discrimination laws.