DESCRIPTION:

Duties: Engage in model validation on quantitative models - Evaluate conceptual soundness of model specifications, reasonableness of assumptions and reliability of inputs, perform implementation testing on Wholesale and Commercial Bank models including Basel models, Machine Learning Models and CCAR Stress Testing Models. Make key contributions to rigorous risk management practice, including designing related model diagnostics and performing independent testing, identifying and communicating model risks, issues and limitations to stakeholders. Responsible for following up the latest standards/policies of review reports and independently drafting the entire review report from scratch. Responsible for proposing enhancements to existing models, assessing extensions to the scope of existing models and developing benchmarking models. Maintain the model risk control apparatus of the bank for the coverage area as lead, including reaching out to the model stakeholders for discussion in case of any outstanding observations noted in junior analysts’ summary report and proactively work with the model stakeholders to address the open model issues. Liaise with Risk and Finance professionals to provide oversight of and guidance on appropriate usage, controls around model restrictions and limitations, and findings for ongoing performance assessment and testing. Keep up with the latest developments in the coverage area in terms of products, markets, models, risk management practices. Lead the junior analyst in providing feedback on the review report and quality of validation work.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Statistics, Mathematics, Economics, or related quantitative field of study plus 3 (Three) years of experience in the job offered or as Quant Modeling, Model Risk Governance, Quantitative Analyst, Research Analyst, or related occupation.

Skills Required: Requires experience in the following: Regulatory Capital modeling in wholesale and securitization space using Basel Advance internal rating based approach including probability of default, loss given default, and exposure at default; Stress Testing Models including Comprehensive Capital Analysis and Review, and Internal Capital Adequacy Assessment; Allowance for Loan and Lease Losses models including Current Expected Credit Losses and International Financial Reporting Standard 9; Quantitative Model Development and Model Validation; Interfacing with functional areas including Line of Business in Commercial Banking on model-related issues; Programming languages including R and Python; Statistical modeling methods including Linear Regression, Logistic Regression, Generalized Linear Regression, Decision Tree, Random Forests, Boosting, Survival Analysis, Principal Component Analysis, Smoothing Splines and Kernel Density Estimation; Machine learning methods, including Neural Networks and Recurrent Neural Networks. Experience can be gained through graduate-level coursework.

Job Location: 237 Park Ave, New York, NY 10017. Telecommuting permitted up to 40% of the week.

Full-Time. Salary: $164,800 - $210,000 per year.