Model Risk Job Description
Model Risk Duties & Responsibilities
To write an effective model risk job description, begin by listing detailed duties, responsibilities and expectations. We have included model risk job description templates that you can modify and use.
Sample responsibilities for this position include:
Model Risk Qualifications
Qualifications for a job description may include education, certification, and experience.
Licensing or Certifications for Model Risk
List any licenses or certifications required by the position: FRM, CFA, PRM, ARM, PMP, LEAN, SAS, ACAMS, OCC, QRM
Education for Model Risk
Typically a job would require a certain level of education.
Employers hiring for the model risk job most commonly would prefer for their future employee to have a relevant degree such as Master's and Bachelor's Degree in Finance, Engineering, Statistics, Mathematics, Physics, Economics, Management, Math, Graduate, Technical
Skills for Model Risk
Desired skills for model risk include:
Desired experience for model risk includes:
Model Risk Examples
Model Risk Job Description
- Independently implementing pricing methodologies/payoffs in a managed C++ library (where appropriate)
- Communicating the results of the review to all key model stakeholders, including Market Risk Methodology, Market Risk Managers, Front Office quant developers
- Carrying out in depth discussions on identified issues and potential improvements
- Being actively engaged in the ongoing review of model performance and applicability the validation and review of model changes on an ongoing basis
- Conduct reviews of models used in connection with pricing, loss forecasting, and capital calculation for wholesale products
- Effectively discuss and communicate the results of model validations to key model stakeholders both orally and in a concisely written format
- Participate in Modeling, Risk Management, Bank-wide and System-Wide projects and initiatives
- Perform independent assessments of market and credit risk exposures
- Screen and evaluate market information and pricing methodologies used among the Bank mission-critical financial models and reporting systems
- Serve as Risk Management’s contact with Model Owners
- Expert knowledge of risk management in specific areas will be an asset
- Advanced knowledge of credit portfolio management and measurement techniques, such as methodologies of economic capital, capital allocation, RORAC, risk aggregation and diversification
- Advanced degree in a quantitative discipline such as finance, math, physics, engineering
- Bachelor's degree in Statistics, Mathematics or Calculus
- Experience in the development, implementation and/or assessment/validation of various models including framework assessment
- Detailed understanding of the relevant regulatory requirements for the subject areas and past experience working with regulatory bodies (e.g., Fed, OCC, PRA, ACPR )
Model Risk Job Description
- Perform analysis of risk and hedging strategy for the Member Failure Plan, document results for the project
- Review and verify changes in methodology, assumptions and levels of Collateral Haircuts
- Participate in model implementation and version upgrade projects
- Perform other duties or projects as may be assigned
- Liaising with various business areas
- Drive continuous improvement and assist in maintaining the MRM Policy and MRM Procedures and Guidelines to ensure they are kept relevant and up-to-date
- Seek areas of enhancement and manage AMRM’s tools and templates that support the First Line of Defense
- Assist in liaising MRM Policy and MRM Procedures and Guidelines requirements with the First Line of Defense
- Develop training materials to reiterate MRM requirements to stakeholders
- Participate as needed in special projects
- Bachelor’s degree in quantitative field such as Statistics, Mathematics, Economics, Financial Engineering, or Physics
- Six years’ experience with financial models
- Deep subject matter expertise
- Hands-on experience of risk and capital modeling, derivatives pricing and broader financial modeling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of capital modeling, financial and derivative products and mathematics, from private study if they have not worked in the financial sector
- Bachelor's degree in Statistics/Applied Mathematics, Finance, Economics or an equivalent combination of education and experience
- 2 years experience in risk management processes, model development/ validation, consulting, banking or other financial services industries
Model Risk Job Description
- Support model validation efforts (based on availability)
- Develop methodologies and processes used to evaluate model risk under Federal Reserve (SR 11-7) requirements for Model Risk Management
- Manage the model validation process through supervising and reviewing the work of the Model Risk Analyst(s) in the validation of models not requiring external validation
- Oversee the Model Risk Assessment process to determine the nature and extent of the Model Validation procedures
- Establish and maintain the Model Risk Management Policies and Procedures in order to fulfill strategic long-term and short-term initiatives as it relates to model validation
- Assist the Manager of ERM with other risk management projects and regulatory monitoring activities as needed
- Responsible for the model validation activities across a wide range of modeling types including market, finance, risk, credit, revenue, valuations
- Directs model validation across multiple business domains including broker-dealer, investment banking, retail banking, capital markets
- Ensures model remediation for improved local controls, governance, documentation, preparing models for independent validation, following up with corrective action plans through model owners
- Responsible for the development of Key Risk Indicators (KRI’s)
- Knowledge of current and proposed regulatory frameworks (FRTB in particular) for the measurement of Market Risk industry practice in Market Risk modeling is an asset
- Have more than 6 years of working experience
- 7 years of relevant work experience if candidate lacks graduate degree
- Familiarity with essential quantitative techniques used in financial models
- Knowledge of stochastic calculus, numerical techniques, statistical analysis
- Related Industry experience is a plus
Model Risk Job Description
- Perform internal audit work related to financial and statistical models and provide input to all audits involving financial and statistical models across all audit groups, support audits addressing overall model governance and model validation
- Responsible for maintaining CAS’s inventory of models and corresponding audits
- Keep abreast of current developments and identify emerging risks with CIBC, the industry and area of model risk mitigation and provide advice to business management on the need to improve controls
- Coordinate execution of MRM projects/iniatives to drive effectiveness and efficiency
- Prepare written summary and analysis of all validation work
- Implement an effective model validation framework
- Perform independent model validation, including an analysis of actual vs
- Provide technical leadership on market risk capital models and oversee multiple model review projects
- Carry out model validation activities, including model reviews projects, for market risk capital models (such as Value-at-Risk, Specific Risk, Stress VBM) across a variety of asset classes
- Liaise with Front-Office, Quants, Market Risk and Valuation Control Groups
- Experience in a Model Validation, Front Office Quant, Quantitative Market Risk or other relevant quantitative role
- A strong understanding of Stress Testing and VAR methodologies or cross asset pricing models
- Qualified to post-graduate level (PhD beneficial), in Mathematics, Financial Mathematics, Physics or Statistics (or equivalent qualification / experience)
- Two years or more of applied modeling, quantitative research and data analysis
- Strong risk modelling technical expertise with execution / delivery focus
- Understanding of industry-wide Risk Modelling practices and trends
Model Risk Job Description
- Independently sampling data sets and model assumptions, including those used in the stress testing processes
- Helping to validate internal audit and regulatory issues
- Lead a team and collaborate with other areas on a variety of model types including those used to manage credit risk and market risk, those used by AML, financial reporting, and various product areas
- Coordinate model validation across multiple business units including broker-dealer, investment banking, retail banking, and private equity
- Providing independent assessments of
- Summarizing work in formal written reports
- Prioritizing and negotiating resolution of identified model issues
- Continually staying abreast of the industry's advancements in the quantitative modeling and measurement of risks
- Write model risk management findings in technical documents that will be presented both internally (model developers, business unit managers) regulators including FRB and OCC as part of CCAR/DFAST
- Provide independent review and validation of a variety of valuation, risk, and PPNR models
- Ability to communicate/influence on complex issues
- Highly numerate with a high level of general intelligence
- Experience of model review and/or development of Retail credit risk models
- Experience in any of the following would be highly valued
- A postgraduate degree (or equivalent) in a quantitative discipline
- The role will involve working with an incredibly broad group of stakeholders within the firm, rolling out model risk appetite framework within bank's risk appetite program