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Corporate - Model Risk Governance & Review - Model Review Group – Credit Products - VP

Req #: 170074170
Location: Jersey City, NJ, US
Job Category: Accounting/Finance/Audit/Risk
Job Description:
The Model Review Group (MRG) is responsible for conducting model validation to help identify, measure, and mitigate Model Risk.  MRG works closely with Risk, Finance and LOB professionals to review findings, on-going model risk measurement and risk mitigating strategies
 

Key Responsibilities:

• Independently review, analyze and test models used for pricing and risk management of credit products.

• Maintain effective challenge, critical thinking, independence  and strong compliance to policy and procedures in model review activities

•Effectively manage business priorities to complete high quality model review work.

• Effectively support regulatory and audit requests.

 

 

• MSc or PhD qualification in Mathematics, Physics, Engineering, Finance or Statistics.

• Mid-level experience [3-5 years] in a Model Validation or Front Office Quant role.

• Excellent mathematical ability with an excellent understanding of mathematical, statistical and numerical methods used in quantitative finance.

• Deep understanding of credit products and pricing techniques for Corporate Bonds, CDS, CLOs, MBS, synthetic CDOs and CLOs.

• Excellent written communication skills.

• Familiar with SR 11-07.

• Previous experience of regulatory and audit interaction.

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