Analyst

The bank is looking for an analyst in the Global Markets (GM) Model Risk Management team. GM Model risk management team covers all aspects of model validation and model risk of front office derivative pricing and risk models. This includes market risk models (VaR, RNIV etc.), Credit/Funding Value Adjustment (XVA) models, counterparty credit risk (CCR) models including IMM models, IRC models, margin models, etc. The team covers OTC derivatives across asset classes ranging from interest rates, FX, commodity, inflation, equity, credit and mortgage.

The candidate will work closely with front office and Global Risk Analytics model developers, as well as Finance/PVG and other risk management groups.

Responsibilities:
• Validate bank’s pricing/risk models developed by Quantitative Strategy Group and Global Risk Analytics.
• Review the underlying assumptions, theory, derivation, empirical evidence, implementation and limitations of the model being validated
• Perform independent testing, scenario analysis and back-testing to identify/quantify model risk associated with the model being validated
• Prepare validation report and technical documents for the model being validated
• Work closely with the model stakeholders (business, Market Risk, Finance/PVG and other control functions) with respect to compensating controls of the models and communication of validation outcomes
• Maintain a sub-portfolio of model inventory and perform annual model reviews, on-going monitoring reviews, Required Actions Items closure etc