Subject matter expert and owner of regular validation of Liquidity risk models and methodologies.
Independent compilation of detailed validation reports, follow-through on mitigation of validation findings and documentation thereof
Development of challenger models and methodologies including independent data collection and complex statistical analysis and testing
Directly interact with auditors/regulators as subject matter expert for assigned models
Development of subject-matter/technical expertise on model validation and training of team members
Ensure regulatory compliance specific to SR11-7 guidance for liquidity model risk management
Regionally adapt policies into procedures and templates for liquidity model risk validation
Build internal and external relationships when communicating model validation aspects across all levels of the organization including senior management at Group and within the Americas
Qualifications & Skills
Professional experience in quantitative model development or validation is a requirement
Quantitative modeling or validation experience in the field of financials or insurances is a plus
Undergraduate and/or Graduate degree in mathematics, statistics, physics, econometrics or engineering is a requirement
Very strong data management and analysis skills with experience in relevant software packages, e.g. MS Excel, MS Access, VBA, SQL, Matlab and SAS. Experience with additional programming languages is a plus, e.g. C++.
Highly analytical and structured thinking with proven ability to solve specific problems independently and as part of a team
Excellent communication skills with ability to explain complex mathematical concepts in layman’s terms
Attention to detail and ability to ensure consistently high quality of work produced, self-motivated and focused