Manager, Model Risk Management & Validation

This role requires to work 5 days on site.

• With the SD, Risk Policy, Recovery & Resolution and Manager, Risk and Model Validation Policy, determine the scope of validations and review findings identified by third-party validators for severity and accuracy.
• Review the soundness of the ongoing model monitoring procedures and model change standards with the SD, Risk Policy, Recovery & Resolution and recommend and draft, as necessary, any enhancements.
• Liaise with third-party validators to support the model validation process for model changes and annual model validations with a focus on assessment of the models as fit for purpose and conceptual soundness.
• The Manager, Model Risk Management & Validation will be responsible for managing the day-to-day model validation process in coordination with the Manager, Risk and Model Validation Policy.
• Serve as an in-house expert on model risk management and review requirements and advise senior management of CME Clearing, while mentoring and coaching model developers and users, on the same.
• Work with colleagues on the drafting model validation responses, including any remediation plans, and present model validation results and responses to senior management of CME Clearing for review.
• With other stakeholders, support the review of forthcoming model changes and where applicable, conduct the independent validation of such changes, including testing.
• The Manager, Model Risk Management & Validation will be responsible for affirming that the model governance and monitoring standards are implemented and escalate accordingly if not being followed. This role performs a second line function that works closely with the model developers and users in the first line function.
• Support the SD, Risk Policy, Recovery & Resolution in building out the model risk management related policies and procedures, including relating to model validation, monitoring, and changes, and refining the model inventory.

Principal Accountabilities:

• Working with third-party validators to determine validation scope and reviewing identified findings for severity and accuracy
• Management of day to day internal and third-party model validation process including decision-making related to governance of model changes and internal validations
• Advising, mentoring and coaching colleagues on best practices in model risk management leveraging deep subject matter expertise on model risk management.
• Drafting and reviewing model risk management policies and procedures and refining model inventory
• Drafting model validation responses and presenting them to senior management and relevant committees for review

Skills and Software Requirements:

• Possesses strong quantitative, analytical and problem-solving skills along with trouble shooting skills is a must need. Ability to work in a highly collaborative team environment.
• Candidate should have a minimum of 7+ years’ experience in model risk management, working at a bank/major financial institution, and/or management consulting for the financial services industry. Expertise in model risk management (e.g., building validation tools) best practices for risk management methods, particularly for derivatives (e.g., value-at-risk, stress testing, scenario analysis, etc.). Strong understanding of financial markets and derivatives products.
• Proficiency in understanding some programming languages such as C++, C#, Java, or Python is required (i.e., must be able to read code). Ability to develop database queries and scripts for data analysis is required. Expertise in Microsoft Office, particularly Excel, also required.
• Master’s degree or equivalent in quantitative field, such as financial math or financial engineering. PhD preferred.

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