Vice President, Risk / Policy Management
Core
Validating and challenging liquidity and net interest income models, managing model risk, and ensuring compliance with global banking regulations.
Role type
Senior IC quantitative risk modeler (liquidity & capital planning)
Builds
Internal Liquidity Stress Testing (ILST) and Net Interest Income Sensitivity models
Domain
Banking, regulatory compliance, treasury and liquidity risk
Deliverable
production ML models
Required skills
model validation, quantitative programming (Python, R, advanced Excel), data visualization, regulatory capital planning, banking regulations, data lineage
Preferred skills
large dataset management, data warehouse experience
Responsibilities
Review and challenge model assumptions and mathematical formulations, independently test ILST and Net Interest Income Sensitivity models, communicate model issues to treasury and liquidity risk teams, answer regulatory and internal audit requests, develop monitoring tools for model risks, create validation reports for stakeholders and governance committees, collaborate with Global MRM teams to manage model risk across the lifecycle