Model Validation Analyst
Position Summary: Support model validation projects (PD, LGD, Prepayment, Cash Flow, Stress Test). Provides subject matter expertise on models strength and weakness and recommend practical solutions. Interacts with Risk Department, Customer Analytics, Capital and Modeling Department.
Company' s Customer Analytics, Capital and Modeling Department is looking for a highly motivated and qualified Model Validation Consultant to support its objectives. The primary responsibility of this role is to support the model validation team to mitigate the model risks under the model governance for the entire Company. The team is responsible to discover and diagnose modeling related risks including input data, assumption, concept, methodology, process and implementation. The team is also responsible to opine on the model strength and weakness and recommend practical solutions.
- Support the model validation team to mitigate the model risks
- Discovers and diagnoses modeling related risks including input data, assumption, concept, methodology, process and implementation
- Provides subject matter expertise on models strength and weakness and recommend practical solutions
- Validates models assigned by model governance committee
- Discusses validation results with model owners and governance team to gain consensus and create strategies to implement changes if needed
- Utilizes express mode validation for new model development, facing legal and compliance related modeling issues, quick model fixes, etc.
- Review model documents, and conduct test runs on model codes
- Provide different view on methodology and calculations, and provide feedback to model developers
- Work on model validation reports with hiring manager and provide ad hoc support to him
- Advanced Degree. Specify: Masters Degree in Statistics, Econometrics, Finance, Operations Research, or equivalent. PhD is preferred
- 5+ years of financial model development or model validation experience
- 3+ years of work experience in using SAS and SQL
- Quantitative analysis skills
- Work experience in Financial Industry
- Model development or validation experience in PD, LGD, Prepayment and Cash Flow models
- Preferred but don' t required: Working experience in CECL or IFRS 9, Working experience in CCAR, Working experience in using R