Vice President, Model Risk Management

BNY Mellon • Los Angeles, CA

2d • Remote

About The Position

The Bank of New York Mellon seeks Vice President, Model Risk Management II in Los Angeles, CA, to contribute to highly visible enterprise-wide model development function in the organization. Make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis. Execute enterprise standards for model validation. Responsible for leading work to identify and evaluate model risk as well as proposed controls to manage that risk. Investigate the weaknesses of a framework and setting the scope and designing tests for a validation effort, appropriate to that framework. May work in one of five disciplines, each responsible for a different type of modeling: 1) Credit Risk Modeling 2) Treasury Modeling 3) Market Risk Modeling 4) Pricing Modeling 5) Forecasting. Execute enterprise standards for model validation, by setting the scope of a validation effort. Design the tests and review activities necessary to evaluate a model. Evaluate the strengths and weaknesses of a model's conceptual framework to identify situations where a model may become less useful. Review risks and formulate the proposed controls into a plan of action for management. Provide technical direction, accuracy and soundness of quantitative methods in the assigned area. Remote work may be permitted within a commutable distance from the worksite.

Requirements

• Master’s degree, or foreign equivalent, in Financial Mathematics, Finance, Business Analytics, Statistics, Econometrics, or a related field, and two (2) years of experience in the job offered or in a related quantitative occupation.
• Two (2) years of experience must include: Performing quantitative modelling, numerical analysis, and computational methods using programming languages including C/C++, C#, Java, FORTRAN, MATLAB, SAS as well as mathematical or statistical software packages;
• Performing financial modeling techniques, including value-at-risk type of models, interest rate models, risk quantification and forecast models, stochastic calculus for model evaluation, and model risk identification;
• Using data summary and visualization, hypothesis testing, estimation, regressions, time series analysis, and machine learning;
• Conducting independent research, analyzing problems, developing numerical experimentation and testing, producing results, and assessing complex financial models including in-depth examination of model assumptions, methodologies, and strengths and weaknesses.

Responsibilities

• Make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis.
• Execute enterprise standards for model validation.
• Responsible for leading work to identify and evaluate model risk as well as proposed controls to manage that risk.
• Investigate the weaknesses of a framework and setting the scope and designing tests for a validation effort, appropriate to that framework.
• Execute enterprise standards for model validation, by setting the scope of a validation effort.
• Design the tests and review activities necessary to evaluate a model.
• Evaluate the strengths and weaknesses of a model's conceptual framework to identify situations where a model may become less useful.
• Review risks and formulate the proposed controls into a plan of action for management.
• Provide technical direction, accuracy and soundness of quantitative methods in the assigned area.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level