Model Validation Team Leader – Credit and Payments Risk recruitment
Description
The Federal Reserve Bank of New York is seeking an experienced professional to join the Risk Analytics team as a Model Validation Team Leader. The Model Validation Team Leader will design, lead, and implement validations of the Bank's financial risk and valuation models and lead a staff of several Model Validation Analysts.
The Model Validation Team Leader will report to the Risk Analytics Function Head.
Responsibilities
- Validation responsibilities
- Designing, leading, and implementing validations of the Bank's financial risk and valuation models used to support the Bank's monetary policy and financial stability objectives, the Bank's supervisory responsibilities, and the Bank's risk management functions; working with external vendors to evaluate proprietary vendor risk and valuation models
- Applying knowledge of best practices in valuation, risk management, financial econometrics to provide expert reviews and analysis of all components of financial models including model theory (assumptions used, methodology, documentation) and model implementation (input data, implementation decisions, model code, model outputs, and model accuracy)
- Identifying and explaining model limitations and highlighting potential improvements in model design, implementation, coding, output reporting, and documentation; maintaining familiarity with regulatory and market developments that impact model performance
- Providing clear and concise written and verbal communication of technical observations to senior bank management and stakeholders
- Management responsibilities
- Prioritizing the work of the Validation Team and managing a portfolio of validation projects; using project management techniques to ensure timely project completion and high-quality deliverables
- Communicating and collaborating with stakeholders including model developers, the Bank's Risk Management and Audit functions, and the Bank's external auditors
- Developing and maintaining validation project plans and inventories as well as preparing in-depth documentation and records of validation activities
- Mentoring Validation team members to develop their knowledge and skills
- Policy responsibilities
- Contributing to the enhancement of the Bank's model control, governance, and validation policies as informed by regulatory and private sector best practices
- Contributing to Federal Reserve System workgroups on model validation and governance
- Collaborating as needed with other teams to contribute to policy analysis
Skills
Qualifications
- Master's degree or Ph.D. in Economics, Statistics, Finance, Financial Engineering, or Business preferably with an emphasis on quantitative risk or valuation modeling; additional professional credentials such as FRM, CFA, or PRM are desirable
- At least 7 years experience designing, leading, and implementing validations of valuation and risk models across a range of asset types including fixed income securities, structured products, and whole loans
- Experience effectively managing a team of professionals and proven ability to successfully lead multiple complex technical projects
- Background in econometric modeling (regression analysis, time-series modeling, volatility models, cross-sectional models, multivariate models, and multivariate Monte-Carlo simulation); knowledge of SAS, Stata, MatLab, VBA, Bloomberg, and Intex (desirable)
- Strong written and oral communication skills, including the ability to explain complex, technical issues and make clear recommendations to stakeholders
- Exceptional interpersonal skills - ability to communicate, collaborate, and influence a diverse group of stakeholders
This position requires access to confidential supervisory information, which is limited to 'Protected Individuals' as defined in the U.S. federal immigration law. Protected Individuals include, but are not limited to, U.S. citizens, U.S. nationals, U.S. permanent residents who are not yet eligible to apply for naturalization, and U.S. permanent residents who have applied for naturalization within six months of being eligible to do so.