he successful candidate will join the Model Risk Management and Validation Group (MRM&V). The MRM&V function at CFG is responsible for identifying and managing the model risk across the bank in finance, consumer, commercial, treasury, global market, and Enterprise Risk Management divisions. The model types include statistical, time-series, econometrics, machine learning, derivative pricing, and qualitative modeling. These models are used to measure risk in AML, CCAR, CECL, Market Risk, loss forecasting, pricing, profitability, regulatory capital, underwriting, fraud, and fair lending amongst many others.
The successful candidate will primarily focus on market risk (VaR), counterparty credit risk (PFE and CVA), and derivatives valuation (interest rate, foreign exchange, commodities, etc.) models. The candidate will perform independent analysis of models and other tools through extensive reviews into how the model was developed and how it functions. The candidate will provide written communications of their findings in a clear, succinct manner to all model stakeholders including model owners, developers, lines of business, audit, and regulatory agencies. By the nature of this position, the successful candidate will be exposed to a wide variety of models and business analysts, as well as senior management.
- Perform independent review and model validation of market risk (VaR), counterparty credit risk (PFE and CVA), and derivatives valuation (interest rate, foreign exchange, commodities, etc) models.
- Write validation reports containing/explaining the theory behind the models, including modeling limitations and assumptions, analyses performed and implications of their results.
- Present the reports and findings to various review / approval committees and to other modeling teams.
- Develop creative approaches to communicate complicated concepts, essence of the tests, results of the model validation exercise and analyses performed to effectively communicate the findings to audiences not necessarily quantitative or expert in the domain.
- Participate in peer brainstorm review sessions and help other MRM&V members to address the model- and validation-related issues.
- Represent Model Risk management team in the interactions with regulatory agencies
- 3 or more years experiences in model development or validation
- Strong understanding of market-relevant measures of risk, in particular the ones related to market and counterparty credit risk modeling, including the methodologies and limitations behind the calculations of such measures.
- Familiarity with essential quantitative techniques used in financial modeling, with the focus on the derivative pricing approaches, e.g. risk-neutral, Monte Carlo.
- Quantitative programming skills (e.g. Python, R, SAS/SQL, MATLAB, etc.)
- Very good communication skills (both verbal and written), as well as solid project management skills with the ability to multitask.
- Good business knowledge and familiarity with global markets/global treasury products, market risk and counterparty credit risk practices.
- Prior experience with developing or validating models used for stress testing, prepayment and/or credit models will be a plus.
- Prior experience in delivering both written and verbal communications to a senior management audience and developing constructive relationships with a wide range of different stakeholders.
- Masters or Ph.D. degree in finance, economics/econometrics, statistics or other quantitative fields (physics, computer science, mathematics, etc.)