Specialist, Model Risk

Job Description

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. 


Responsibilities:


  • 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: 
1) Credit Risk Modeling 
2) Treasury Modeling 

3) Market Risk Modeling 

4) Pricing Modeling 

5) Forecasting  


  • 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. 
Qualifications:

  • 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.

Qualifications

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BNY Mellon is an Equal Employment Opportunity Employer.

Primary Location: Poland-Dolnoslaskie-Wroclaw
Job: Risk
Internal Jobcode: 85307
Organization: Risk-HR06016
Requisition Number: 1906931