Quantitative Model Validation Analyst
About The Position
Validates, tests, documents, and oversees usage of complex statistical Treasury Risk and Pre-provision Net Revenue (PPNR) models. Regularly reviews model monitoring reports. The models may cover a variety of products or services, however, most models are used as part of the financial decision making process though regulatory stress testing. Specific results focus on documenting the creation and/or testing of advanced statistical models and communicating such models to stakeholders within the Bank. Deliverables include the creation of model validation documentation such as: presentations, written validation and annual review reports, and related code reviews, review and closure of issues and findings, etc.
Requirements
- Bachelor’s degree in a quantitative field, and five or more years of relevant experience OR MA/MS in a quantitative field, and three or more years of related experience OR PhD in a quantitative field, and less than two years of related experience
- Strong statistical modeling or model validation background based on technical training or advanced education in a quantitative field
- Strong knowledge of various regression techniques, times series techniques, parametric and non-parametric models, and other statistical models, various model validation tests/methodologies, using Python, R, SAS, or similar statistical package
- Strong data compilation, coding skills, qualitative analysis skills, and knowledge of SQL
- Advanced knowledge of quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches
- Demonstrated independence, team work and leadership skills
- Strong project management skills
- Excellent written and verbal communication skills
Responsibilities
- Validates, tests, documents, and oversees usage of complex statistical Treasury Risk and Pre-provision Net Revenue (PPNR) models.
- Regularly reviews model monitoring reports.
- Documenting the creation and/or testing of advanced statistical models.
- Communicating such models to stakeholders within the Bank.
- Creation of model validation documentation such as: presentations, written validation and annual review reports, and related code reviews.
- Review and closure of issues and findings.
Benefits
- Healthcare (medical, dental, vision)
- Basic term and optional term life insurance
- Short-term and long-term disability
- Pregnancy disability and parental leave
- 401(k) and employer-funded retirement plan
- Paid vacation (from two to five weeks depending on salary grade and tenure)
- Up to 11 paid holiday opportunities
- Adoption assistance
- Sick and Safe Leave accruals of one hour for every 30 worked, up to 80 hours per calendar year unless otherwise provided by law
- Incentive and recognition programs
- Equity stock purchase
- 401(k) contribution and pension
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What This Job Offers
Job Type
Full-time
Career Level
Mid Level
