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Head of Model Risk Audit (Director)

  • Job type: Permanent
  • Location: New York
  • Salary: Competitive
  • Job reference: ewq212
  • Sector: Banking and Finance, Risk Management, Selby Jennings
  • Date posted: 12/02/2018
A Global Tier 1 Investment Bank is seeking to add a seasoned individual to lead their Model Risk Audit team in the United States. Qualified candidates will have supervision over an existing team and will be tasked to grow this team further over the next few years. You will be responsible for examining model development and validation processes while looking at all model across the bank (trading models, market risk, credit risk, pricing models, front office models, and more). You will be facing off with Capital Markets business leaders as well regarding how the models fit into their use and how they account for risk in financial markets and various trading strategies. This is a highly visible role as you will sit on committees and meetings with senior internal stakeholders to strategize for future model methodologies and how to best account of risks within models.

Responsibilities:
  • Create and execute a framework that will challenge quantitative model development and model validation functions across all areas of risk
  • Act as a champion for the quantification of all types of risk models – including trading, pricing, credit, market, liquidity, and more
  • Strategically assess how these models capture risk and how the business uses this information to make decisions
  • Lead the existing team as well as hire and train future team members
  • Develop and maintain relationships with internal stakeholders across the organization to effectively be able to drive and implement changes for the benefit of the firm from both a model perspective and a risk perspective
Qualifications:
  • A minimum of 10 years of previous financial products or risk management (market, credit, quantitative/model, liquidity, regulatory risks) experience is typical for this role.
  • Previous internal or external audit experience is helpful, but not required. The incumbent for this particular position should have a background in either risk management, model development, or model validation
  • Experience with different asset classes and various models across trading, market risk, pricing, credit risk, liquidity risk, and more
  • Strong communication skills, both written and oral
  • Strong quantitative, analytical and problem-solving skills
  • Self-starter, with the ability to work independently and lead teams
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