AVP Risk Analytics (Model Team)

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Job Ref: 14967

Salary: $65000 – $150000

 

AVP Risk Analytics (Model Team)
located onsite in Manhattan
Base salary $65k-150k depending on skills and experience
Requirements:
Bachelor’s degree in Statistics/Mathematics/Engineering/Quantitative required, Master’s preferred

• Minimum 4 years of experience in stress testing, allowances methodology, risk rating modeling and credit risk management at a financial institution

• CPA/CFA/FRM preferred
• Demonstrate broad knowledge of credit markets and specific products knowledge including corporate loans, structured loans, leveraged loans, mergers & acquisition finance, project finance and trade finance, and accounting and capital market knowledge
• Demonstrate knowledge in at least one of the areas: Stress testing, CECL, Rating Methodology
• Responsibilities:

• Develop credit related models (including but not limited to risk rating models, CECL model, stress testing models), test, implement and deliver the comprehensive technical and non-technical model documentation
• Obtain and prepare model development data in support of standing up credit risk models
• Perform quantitative research to implement model changes, enhancements and remediation plans
• Identify risks not captured by analytics, develop and implement methodology to quantify the materiality, and design a strategic plan to better integrate and manage such risk
• Communicate with model users, model risk manager and senior management regarding validation findings and remediation activities
• Independently coordinate the remediation of model validation findings and provide analytical remediation solutions
• Support and drive the team to implement the activities defined in model risk management framework and ensures that adherence to model risk management framework
• Maintain credit model inventory and conduct annual model review and ongoing performance monitoring
• Periodically evaluates and enhances the models to maintain their relevance and ensure compliance with current regulatory requirements
• Develops, enhances, implements, documents and provides ongoing expert support for the practical applications of analytics, financial economics, and quantitative methods in support management decision making and risk management
• Conducting research and analysis to provide a micro view of risk management in a particular business line and a macro view of risk management for the bank as a whole
• Provides technical knowledge and advice to management related to quantitative analysis, modeling and stress testing
• Develops, documents, and maintains quantitative tools and models used to measure risks, including but not limited to quantify the Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) to be used in the credit review process and in the calculation of the allowance for credit losses

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