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Validates, tests, documents, and oversees usage of complex statistical Treasury Risk models. Regularly reviews model monitoring reports. The models may cover a variety of products or services, however, most models are used as part of the financial decision making process though regulatory stress testing. Specific results focus on documenting the creation and/or testing of advanced statistical models and communicating such models to stakeholders within the Bank. Deliverables include the creation of model validation documentation such as: presentations, written validation and annual review reports, and related code reviews, review and closure of issues and findings, etc.
- Bachelor’s degree in a quantitative field, and five or more years of relevant experience
- MA/MS in a quantitative field, and three or more years of related experience
- PhD in a quantitative field, and less than two years of related experience
- Strong statistical modeling or model validation background based on technical training or advanced education in a quantitative field
- Strong knowledge of various regression techniques, times series techniques, parametric and non-parametric models, and other statistical models, various model validation tests/methodologies, using R, SAS, Python or similar statistical package
- Strong data compilation, coding skills, qualitative analysis skills, and knowledge of SQL
- Advanced knowledge of quantitative and qualitative risk factors, industry risks, competition risks, and risk management approaches
- Demonstrated independence, team work and leadership skills
- Strong project management skills
- Excellent written and verbal communication skills