Quant Analyst Job in New York, New York US
Background
Recent regulatory guidance on model documentation standards have identified gaps in current Counterparty Credit Risk methodology documentation. As part of enhancement work associated with Counterparty Credit Risk Management, methodology documentation is required to comply with the requirements outlined in Supervisory Guidance on Model Risk Management
Scope:
All Pricer, Scenario Generation Models utilized within Credit Studio as well as associated calibration methodologies
Current State:
Current methodology documentation effectively describes the methodology used and generally provides formulas and explanations and descriptions of inputs and basic model assumptions.
Incremental Requirements:
Augmentation of existing methodology documentation to include the following elements:
1. Statement of Purpose: clear statement of model’s intended use
2. Design, Theory, and Logic supported by published research and sound industry practice
3. Key Assumptions are identified, documented, and justified
4. Modeling approaches need to be compared with alternative modeling choices
5. Documentation should include descriptions of merits and limitations of modeling choices and variables used
6. Data proxies, to the extent used, should be identified, documented, and justified
7. Any statement of conservatism be substantiated