Model Risk Analyst
Role Overview
The Model Risk Analyst works in the Model Risk Management (Market Risk) team within the bank’s Risk function.
The role validates and enhances risk models, improving validation accuracy, coverage, and automation, with a focus on retail lending scorecards.
Key Skills for This Role
Full Job Posting
Role overview
The Model Risk Analyst works in the Model Risk Management (Market Risk) team within the bank’s Risk function.
The role validates and enhances risk models, improving validation accuracy, coverage, and automation, with a focus on retail lending scorecards.
Responsibilities
- Improve the accuracy, granularity, and coverage of existing model validation processes.
- Build tools to automate validation workflows and improve process efficiency.
- Independently develop or validate statistical and mathematical models, especially retail lending scorecards.
- Validate wholesale rating models using quantitative and qualitative tests, PD calibration, discriminatory power, sensitivity, and rating migration analysis.
- Validate market risk models covering derivative and fixed-income valuations, bootstrapping, VaR, sensitivity and capital charges, and interest rate and foreign exchange simulations.
Qualifications
- Bachelor’s degree in Mathematics, Statistics, Engineering, Economics, or a related quantitative field.
- At least one year of experience, including relevant model development or validation experience in retail lending, wholesale credit, or market risk models.
- A relevant master’s degree or higher is preferred.
- Knowledge of statistical and mathematical modeling, risk frameworks, and regulatory expectations; proficiency in Python, R, SAS, or similar software.
- Analytical problem-solving skills, attention to detail, independence, ability to manage multiple projects, and strong communication skills.
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