Director, Model Validation

The Director of Model Validation will spearhead the design and development of advanced quantitative models and strategies. This position will have a strong background in mathematics, data analysis, and algorithm development, along with leadership skills to guide a team of quants. This position will lead quantitative finance, core modeling and quantitative risk management. Responsible for overseeing the independent validation of financial, risk and predictive models across the organization.

Essential Functions :

• Lead validation activities for models used in credit risk, market risk, operational risk, fraud detection and pricing
• Lead a team in quantitative finance, core modeling and quantitative risk management
• Collaborate with the teams across the company including from Risk, IT, Finance and Markets to ensure model alignment with business objectives
• Oversee the independent validation of financial, risk and predictive models across the organization
• Design and develop advanced quantitative models and strategies
• Analyze large datasets to discover actionable insights and optimize models
• Design, implement and validate mathematical models for pricing, risk assessment and forecasting
• Ensure the robustness, scalability and accuracy of algorithms and codebases
• Stay up-to-date on cutting-edge techniques in quantitative research, data science and machine learning
• Deliver thought leadership through research and presentations on risk management
• Create and maintain a risk framework
• Develop a quant library and platform while managing model risks
• Develop strategies, frameworks and processes to ensure models meet regulatory, business and operational requirements
• Ensure adherence to model governance frameworks, including model development, documentation, validation and monitoring processes
• Maintain documentation of validation results and communicate findings
• Identify and address potential risks related to model assumptions, design flaws and performance issues
• Collaborate with the business to address model weaknesses and improvement opportunities
• Provide technical insights and recommendations for model optimization and risk mitigation
• Create and review presentations to support the Risk and Audit Committee of the Board
• Demonstrate integrity in decision-making
• Provide leadership for the department
• Support career development for team members
• Mentor and guide employees to foster skill development and innovation
• Develop Department Strategic Initiatives

Characteristics & Qualifications :

Required :

• Bachelor's Degree in Engineering, Economics, Statistics, Mathematics, Data Science or equivalent work experience
• At least 5 years of experience
• 5-10 years of leadership experience in a managerial / supervisory role
• Strong attention to detail and follows up on open issues
• Strong analytical and model building skills
• Confident team player who works well with others
• Ability to prioritize tasks and work within a company with often competing pressures
• Ability to explain complex ideas in a cohesive and concise manner

Preferred :

• Master's Degree in Business Administration (MBA)
• Ability and desire to build relationships and interact with a wide range of stakeholders and staff to maintain and enhance PJM's customer service reputation
• Experience with PJM operations, markets, and planning functions