What are the responsibilities and job description for the VP, Credit Risk – Model Validation & Analytics (PD, LGD, EAD) position at Madison-Davis, LLC?
Office Status: Hybrid
Salary: $125,000 - $160,000
Role Overview:
The VP, Credit Risk – Model Validation & Analytics will be responsible for the validation of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models used for credit risk management. This role focuses on ensuring these models meet regulatory requirements and internal risk policies, with a strong emphasis on model validation and analytics.
Key Responsibilities:
- Model Validation & Analytics:
- Validate credit risk models, specifically PD, LGD, and EAD, ensuring they are robust and comply with regulatory standards.
- Conduct analytics to assess model performance, including back-testing, benchmarking, and sensitivity analysis.
- Collaborate with risk teams to improve model calibration and ensure models are reflective of changing credit risk dynamics.
- Credit Risk Analysis:
- Analyze model outputs to assess risk exposure and capital adequacy.
- Provide actionable insights on model results to senior leadership and other stakeholders, supporting risk mitigation strategies.
- Regulatory Compliance & Reporting:
- Ensure models meet regulatory requirements such as Basel III and CCAR.
- Prepare validation reports for internal stakeholders and regulators, documenting model performance and any identified weaknesses.
- Cross-Functional Collaboration:
- Work closely with model owners, IT, and other risk teams to ensure the accurate development, validation, and implementation of models.
- Assist in defining model risk strategies and aligning them with business objectives.
- Process Improvement & Documentation:
- Support the development of internal processes for model validation and ensure robust documentation.
- Recommend improvements based on performance analysis and regulatory feedback.
Salary : $125,000 - $160,000
