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VP Model Risk Manager

  • Job type: Permanent
  • Location: Atlanta, Georgia
  • Salary: US$175000 - US$225000 per annum
  • Job reference: 297751/001_1554470626
  • Sector: Selby Jennings, Risk Management
  • Date posted: 05/04/2019

My client, a top bank is seeking a highly technical and quantitative risk professional to assume ownership of the validation efforts for retail and wholesale loss forecasting models. As the VP - Model Risk Manager, the qualified individual will be joining a highly technical team and assume responsibility for the continued enhancement of the bank's Model Risk Management program through an effective challenge and review of these credit risk models spanning all credit portfolios for the bank. The ideal candidate will be a seasoned quantitative risk professional with hands-on modeling experience in either a development of validation capacity, combined with advanced knowledge with Machine Learning.

Responsibilities

  • Assume responsibility for the validation efforts of the bank's credit risk loss forecasting models
  • Lead reviews of conceptual soundness, assumptions, theory, estimations, and limitations of the model being validated
  • Act as an advisory figure for business lines, relaying validation findings and helping to achieve strategic organizational goals.
  • Take ownership of the identification and quantification of model risk for the relative model being validated
  • Perform ad-hoc Model Risk Management activities as necessary
  • Create publications and technical documents for the model being reviewed/validated
  • Partner with key stakeholder and develop key relationships with working groups such as model owners, users, and business leaders to ensure effective coverage for the MRM program.

Requirements

  • PhD (preferred) or MS in Quantitative Discipline
  • Advanced experience with Python, MAtlab, R, or C++
  • Expert level understanding of Machine Learning & NLP
  • Prior exposure to validation or development of Credit Risk
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