The Specialist (Model Risk Analyst) will contribute to highly visible enterprise-wide model validation function in the organization. The models make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis. The role will be to execute enterprise standards for model validation.
- The incumbent will be responsible for identifying and evaluating model risk and propose controls to manage that risk. This will entail following the scope of a validation effort and executing tests and reviews.
- The incumbent may work in one of five disciplines, each responsible for a different type of modeling:
2) Treasury Modeling
3) Market Risk Modeling
4) Pricing Modeling
- Execute enterprise standards for model validation by applying techniques and methodologies to test assumptions and review outcomes of a model. Tests and reviews align to the validation scope established by more senior colleagues.
- The incumbent will be responsible for identifying and evaluating model risk and proposing controls to manage that risk.
- Subsequent to the validation of a model, the incumbent is expected to lead projects that automate prior testing, allowing risk to be assessed on a dynamic basis.
- The incumbent may be required to construct shadow models that run alongside those in production, allowing Model Risk Management to monitor performance in real time.
- No formal supervisory responsibility. Primarily responsible for the accuracy and quality of own work.
- Master's Degree/PhD in a quantitative discipline, including engineering, mathematics, physics, statistics, econometrics.
- The candidate must have a superb quantitative and analytical background with a solid theoretical foundation coupled with strong programming, documentation and communications skills.
- 0-2 years of experience.
- Must have experience with complex quantitative modeling, numerical analysis, and computational methods using programming languages (such as C/C++, C#, Java, FORTRAN, MATLAB, SAS) as well as mathematical/statistical software packages.
- Must be extremely focused, detail oriented, results oriented and highly productive.
- Must have a proven track record of being able to efficiently and effectively conduct independent research, analyze problems, formulate and implement solutions, and produce quality results on time.
- The candidate must have excellent scientific and technical documentation and presentation skills, assertiveness & influencing skills, and the skills to explain abstract theoretical concepts to a non-expert audience in easy-to-understand language.
BNY Mellon is an Equal Employment Opportunity Employer.
Primary Location: Poland-Dolnoslaskie-Wroclaw
Internal Jobcode: 85307
Requisition Number: 1906931