Model Risk Manager (PhD) Structured Finance

  • Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Analytic Recruiting Inc.
  • 10 Aug 17

Major financial firm in New York is looking for a Model Risk Manager with a Quantitative PhD to review and validate the banks structured finance credit risk models.

Responsibilities:

  • Work with a team of Quantitative Modelers who are building and enhancing firm wide risk metrics and risk analytics (Model Performance)
  • Provide Quantitative Research, Analysis and Guidance to improve existing credit risk models with a focus on Structured Finance transactions (RMBS, CMBS, CLO’s)
  • Lead model validation and model governance activities pertaining to Structured Finance credit risk and scorecard models
  • Review credit risk model methodology and documentation to insure model accuracy and consistency across the firm’s large inventory of models
  • Develop close working relationships with senior business unit heads
  • Work across the firm to implement new risk governance and risk policies
  • Act as a subject matter expert on Structured Finance Credit Risk Modeling

Requirements:

  • Quantitative PhD (a strong requirement)
  • Minimum of 6 years working on Structured Finance Credit Risk Models
  • Deep understanding of the underlying loans and collateral in securitized RMBS, CMBS and CLO transactions
  • Current hands-on experience documenting, reviewing and stress testing structured products valuation, market and credit risk models
  • Experience with Credit Risk Model Development, Model Review and Model Risk Governance
  • Must have current and advanced programming skills in C++. Matlab
  • Must have superior oral and written communication skills to be successful implementing model changes and influencing senior risk managers
  • Must have strong project management skills
  • Most important- the ability to work with senior risk managers; to be able to discuss complex quantitative issues and ideas; and to help implement needed enhancements and improvements to existing credit risk models firmwide.

Keywords: PhD, Structured Finance, Model Risk Management, Model Governance, Model Validation, Stress Testing, Credit Risk Model Research, RMBS, CMBS

Please refer to Job 22798 - and send MS Word attached resume to jeg@analyticrecruiting.com.