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Director Model Validation - Balance Sheet & ALM

  • Job type: Permanent
  • Location: New York
  • Salary: $175000 - $225000 per annum, Benefits: Bonus + Benefits
  • Job reference: mark007
  • Sector: Banking and Finance, Risk Management, Selby Jennings
  • Date posted: 02/08/2017
Big Four American investment bank is growing its Model Risk Management group. The team works very closely with Treasury and Finance groups and will be expanding model coverage. The primary focus will be on balance sheet management models. There is potential for the role to be based out of Atlanta, Georgia although most of the team sits in Charlotte.

The individual will be leading efforts in validation and review of new and existing models covering balance sheet, ALM, deposit, and economic capital. They will be strategizing with key stakeholders and business lines. The candidate will be reporting to the Head of BSM models.

Responsibilities
  • Review and validate forecasting and pricing models
  • Oversee model validation activities pertaining to Balance Sheet Management Models
  • Support regulatory and audit requests
  • Maintain effective challenge and critical thinking to policy, procedure, and governance
  • Develop and retain strong teams
Requirements
  • 5-10 years experience in pricing or model validation
  • Expertise in balance sheet and or ALM models
  • Programming expertise in R or C++
  • Experience in time series and regression modeling
  • Familiar with SR11-7 regulatory requirements
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