Model Validation Analyst - Corporate & Investment Banking

Banco Santander Brazil•New York, NY

42d

About The Position

The Sr. Analyst, Model Risk will be responsible for performing independent validation of models and expert judgement models used by the bank in conformance with regulatory guidance on model risk SR11-07. This individual's responsibility includes performing model validations, from input data, model methodology, model outcome, usage and related controls and governance around model risk. This role involves internal communication with business and model development and external with vendors and third-party servicers. Furthermore, this individual is expected to take the day-to-day model risk governance responsibilities such as ongoing performance monitoring, orderly remediation of findings, and model annual reviews. Evaluates model assumptions and weaknesses, prepares reports describing the results of the validation analyses and list the recommendations for addressing any issues identified. Conducts robust validations of a wide variety of models against established standards, developing benchmark, challenger, and replication models where applicable. Advises senior personnel in their communications with risk committees, auditors, regulators, and senior management regarding model risk and its potential effects on the risk profile of the bank. Manages the resolution of findings with model owners and developers. Reviews ongoing model performance, assesses overall model health within a given framework, identifies potential problems and works with stakeholders to resolve issues identified. Partners with model owners and developers to understand the business context for model use, producing technical guidance and adding value to the business process. Develops and executes initiatives such as researching new trends in modeling and approaches to the management of associated model risk.

Requirements

Bachelor's Degree in Statistics, Mathematics, Economics or equivalent quantitative discipline or equivalent work experience. - Required.
3+ years of experience in Model Validation and/or Model Risk Management function at a large corporate and investment bank.
Detailed familiarity with advanced quantitative analysis and applied statistical techniques in relevant asset/liability categories, including regression, time series forecasting, econometric modelling, PCA analysis, data mining, survival analysis, sensitivity, back-testing, model performance measurement
Sound knowledge of financial numerical methods/PDEs, stochastic calculus, and option pricing
Programming capabilities: Hands on programming skills required in common programming languages and packages like R, Python, Matlab, and SAS etc.
Ability to apply mathematical and statistical skill in a highly practical way to solve problems
Ability to work with senior management and other stakeholders
Outstanding time and stress management skills, team-work spirit. As a responsible level the team member should be a self-starter and need minimal direction from managers in pursuing projects.

Nice To Haves

An advanced degree, masters/PhD in a quantitative discipline such as Financial Engineering, Mathematics, Physics, Quantitative Finance, Economics, Statistics, or other relevant field of study. - Preferred.
Familiarity with QRM, ADCo and Intex or similar systems. - Preferred.
Established work history or equivalent demonstrated through a combination of work experience, training, military service, or education.
Experience in Microsoft Office products.

Responsibilities

Evaluates model assumptions and weaknesses, prepares reports describing the results of the validation analyses and list the recommendations for addressing any issues identified.
Conducts robust validations of a wide variety of models against established standards, developing benchmark, challenger, and replication models where applicable.
Advises senior personnel in their communications with risk committees, auditors, regulators, and senior management regarding model risk and its potential effects on the risk profile of the bank.
Manages the resolution of findings with model owners and developers.
Reviews ongoing model performance, assesses overall model health within a given framework, identifies potential problems and works with stakeholders to resolve issues identified.
Partners with model owners and developers to understand the business context for model use, producing technical guidance and adding value to the business process.
Develops and executes initiatives such as researching new trends in modeling and approaches to the management of associated model risk.