Model RiskOfficer

Mid-town, NYC

· Education: MA or above in finance, mathematics, science, or engineering required.
· Skills: Quantitative, analytic skills, able to use industry software such as Bloomberg, Mortgage Product software, derivative software, Microsoft office products, programming such as python.
· Experience: More than 7 years’ experience worked in financial industry with fixed-income products and securities, interest rate derivatives, mortgage pricing and credit, and financial entity rating as a focus.

Model Risk Officer will assist in performing model validations and reviews that will allow the Bank to meet regulatory-requirements. The officer will participate in all aspects of model risk management.
Education
· MS or Ph.D. degree in mathematics, science or business-related discipline or MBA in Finance/Economics with a strong quantitative skills curriculum.
· Certified Financial Analyst (CFA) or Risk Management professional certifications a plus.
Skills
· Highly quantitative / analytically oriented especially with market information, performance data, and statistical analysis.
· Solid understanding of fixed income markets, products, and risk and best industry practices
· Proficient in financial products pricing / fair value measurement theory and practice.
· Able to assess the veracity of financial instruments' fair value measurements
· Fluency with statistical and numerical methods: regressions, probability theory, Monte Carlo simulation, etc.
· Excellent relevant computing skills, e.g. Python, Excel, Visual Basic, etc.
· Excellent verbal and written communicator. Experience creating and making presentations to executive management.
· Ability to deliver complex projects independently and with minimal supervision; take initiative and ownership of projects, exhibit leadership of teams where necessary.
· Team player adaptable to changing roles and requirements.
· Ability to excel in a fast-paced and stressful environment.
· Organized and methodological in handling work assignments and priorities.
Experience
· 7 years of experience in asset pricing, financial research, and/ or model validation.
· 3 years of experience in modeling or validating financial models
· Modeling experience of mortgage products for pricing, risk management, and credit is a MUST.
· Modeling experience for interest rate derivatives and interest rate modeling is preferred.
· Experience with repo/lending collateral valuation
· Experience developing hedging strategies.
· Experience in the product control function
· Experience with the construction of credit and rate curves
· Experience with corporate default models, mortgage credit models, repo/lending collateral valuation, developing hedging strategies or product control functions a plus
· Working knowledge of loan loss reserve calculations a plus
· Working understanding of valuation and risk measurement methods
· Knowledge of fixed-income markets, financial instruments (Mortgage loans, MBS, ABS, CMBS, and OTC Derivatives) desirable.
· Familiarity with the application of FAS 133,107,157,159 and/or 105 is a plus.
· Knowledge and understanding of Home Loan Banking system a plus[
Function
· Carrying out model validations for any models used by the Bank
· Coordinate model risk team in undertaking new initiatives to improve model risk capabilities.
· Assume Lead roles in Model Validation, Risk Management, Bank-wide and System-Wide projects and initiatives
· Perform independent assessments of market, credit, and operation risk exposures
· Perform annual validation of Bank models as well as validation of significant changes to these models.
· Perform EUC and other calculation tools review and validation.
· Safeguard the Bank from losses by contributing to the ongoing development and administration of risk management programs involving the capture of market information and its use within the Bank’s financial models
· Screen and evaluate market information and pricing methodologies used among the Bank financial models and reporting systems.
· Serve as Model Risk Management’s contact with the Model Owners and with Vendors providing analytical support.
· Enhance the Bank’s Model Risk governance framework and implementation, including prioritizing model initiatives and scheduling validations, to be in compliance with regulatory requirements and consistent with best practices
Duties
· Analyze research, test and validate Bank’s Models and present results to Model Risk Committee and internal and external regulators.
· Understand and describe the dynamics (cause and effect) of changing risk positions and fair values across the balance sheet’s financial assets and liabilities interest rate risk on a monthly basis.
· Identify opportunities to improve process and procedures towards industry best practice.
· Produce presentations that enhance management’s understanding of model risks and validation results.
· Perform monthly or quarterly Fair Value pricing, curve verification, and derivatives analysis requests, as necessary.
· Participate in initiatives to enhance the Bank’s model risk governance, implementation and oversight.
· Participate in model implementation and version upgrade projects.
· Independently assess components of annual capital plan
· Perform other duties or projects as may be assigned.