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Validate models used by the Bank per Federal Housing Finance Agency (FHFA) regulatory guidance. Coordinate and monitor the bank’s model risk identification and mitigation activities.
- Review and validate a broad spectrum of models used by the bank (e.g. credit risk, market risk, and capital markets) and write comprehensive model validation and review reports; coordinate third-party model validation efforts.
- Work with other departments/parties on model risk identification and remediation. Monitor the remediation of the identified model risks
- Coordinate third-party model validation efforts and perform quality assessment for vendor validations.
- Work on other model risk management tasks, including model change review/validation, maintenance of the Bank’s model inventory and model change log, preparing regularly the management reports related to Model Risk Management, and coordinate Model Risk Management Committee meetings.
- Assume additional responsibilities as assigned.
- Master’s degree in a quantitative discipline (e.g. Statistics, Applied Mathematics, Economics/Econometrics, Actuarial Science /Insurance, Quantitative Finance, etc.). PhD is strongly preferred. Professional designation of CFA, FRM, FSA or ASA is highly desirable.
- Minimum of 2 years of experience in risk modeling and/or model validation with major financial institutions or insurance companies. PhD degree can be used as a substitution of the experience.
- Familiar with SAS, R, Matlab/Octave, VBA, Python, C/C++, and/or other programming languages. Experience in handling large-scale dataset and ETL process is preferred. Experience in statistical modeling (e.g. linear regression, logistic regression, time series, and machine learning) is preferred.
- Knowledge of fixed income risk management theory and practice including term structure modeling, derivative pricing and mortgage prepayment. Experience in fixed income analytics and practical experience using portfolio valuation software, such as QRM and Polypaths, is preferred.
- Effective verbal and strong written communication skills / able to engage in concise and effective discussions with management. Must be familiar with Microsoft Office suites (Word, Excel & PowerPoint)