Basel Model Reviewer recruitment

QUANTITATIVE RESEARCH MODEL OVERSIGHT JOB DESCRIPTION

Job Title:        Basel Model Process Reviewer

Location:        New York

Business Description:

The Corporate Model Risk Governance (CMRG) group within Quantitative Research and Model Oversight is responsible for reviewing the firm’s models. It plays an increasingly important control function and is viewed by management and regulators as the independent voice to assess the firm’s model risk. Internal and regulatory expectations regarding the scope and depth of model risk assessments have been growing. Accordingly, CMRG is building a new function and team to assess the end-to-end model processes in the firm.

Job Summary:

The individual will be a member of the CMRG team and will perform end-to-end assessments of model processes throughout the firm, in particular those relating to the Basel II and Basel III regulatory frameworks. These assessments are an integral part of compliance with Regulatory guidance and the firm’s model risk policy. Assessments will be made against the intended model design, regulatory rules and expectations, and internal and regulatory approvals. Unlike model reviews focussed on model methodology, these end-to-end reviews of the model process begin at the ultimate data sources for position, market and reference data and go all the way through the reported results. The quality and appropriateness of the inputs, outputs, and any intervening logic, algorithms, and processes will be evaluated. The operational environment will also be assessed.

The position involves interaction with many teams including regulatory policy, modellers, technology and operations, reporting, finance, and audit. The ability to work efficiently and communicate effectively across these boundaries will be one of the keys to success.

Core Responsibilities:

• Provide regulatory policy expertise to the broader team

• Develop and execute plans for end-to-end model process assessments, in particular for those in the Basel regulatory frameworks

• Distil regulatory documentation into key requirements for use in assessments

• Liaise with businesses, modellers, technology and operations to perform assessments

• Review documentation and interview subject matter experts

• Conduct or direct empirical studies, statistical and data analyses

• Assess compliance with requirements and produce a report of findings for management

• Stay current with emerging regulatory requirements and expectations, and stay plugged into developments in models, systems, and processes

Essential skills, experience, and qualifications:

• Significant expertise in Regulatory policies, in particularly with respect to Basel II and Basel III capital models and processes

• In depth experience in one or more of the core regulatory capital Pillar I frameworks: Market Risk, Credit Risk, and Operational Risk. Experience should include one or more of the following aspects: policy, technology and operations, model development, model review, audit, and project management.

• Strong ability to trace through complex financial systems and processes

• Strong analytical and problem solving abilities

• Excellent communication skills, both written and oral

• Detail oriented

• Ability to work independently

• Minimum six years of relevant experience in a bank or a bank regulator

• Master’s degree or equivalent in a technical field such as math, science, engineering, or economics/ finance

Desirable skills, experience, and qualifications:

• Experience as an economist/financial economist in risk analysis division of OCC, supervision division of FRB (Bank or Board) especially suitable 

• Experience in Basel Pillar II requirements

• Experience in empirical studies, data analysis, and statistics

• Experience in model review or model audit functions.

• Experience in risk models, pricing models or analytics

• Experience in technology and operations, on the development side and/or the process control side

• Experience in risk management with basic understanding of risk drivers