Sr. Model Risk Quantitative Analyst (Remote)

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Requirements:

• In-depth knowledge in Retail modelling, PD/LGD/EAD, loss reserve, CECL, capital and stress testing models
• Hands on experience in model validation and model development; and working with large and complex data sets.
• Able to conduct independent testing and build challenger models for credit forecasting.
• Strong knowledge of SR11-7, capital, stress testing, and other regulatory requirements.
• Advanced knowledge of a statistical programming package is required.
• Advanced knowledge of applied statistics such as Regression Analysis, Bayesian Statistics, Importance Sampling, etc.

Responsibilities:

• Independently conducts model validation and model risk governance across business units.
• Applies robust model validation methodology to assess the conceptual soundness of model theory, quality of model implementation, and model ongoing monitoring.
• Develops and applies model quality assessment and approval criteria to ensure the integrity of model implementation, inputs, outputs, monitoring and reporting.
• Assists in developing and maintain model documentation, work papers and professional reports of validation results.
• Communicates findings from validate work to management and stakeholders, including recommendations as appropriate.
• Summarizes and presents model validation results to model risk management committee as requested.
• Ensures business continuity under all conditions, sometimes adverse, with strict adherence to established guidelines and deadlines.