Vice President, Risk / Policy Management

What you'll do

• Review and challenge model assumptions, mathematical formulations, and implementation of supervisory rules for liquidity and interest income models.
• Perform independent testing on Internal Liquidity Stress Testing (ILST) and Net Interest Income Sensitivity models across global markets.
• Communicate with global and regional treasury and liquidity risk teams regarding ongoing validations and identified model issues.
• Respond to regulatory and internal audit requests concerning Model Risk Management activities for ILST and Net Interest Income.
• Identify, quantify, and develop compensating controls for risks arising from model limitations and thematic risks.
• Produce high-quality validation reports detailing model risks and limitations for stakeholders, senior management, and governance committees.
• Manage model risk across the entire lifecycle in coordination with internal risk, finance, and regulatory capital teams.

What we're looking for

• Requires a Master's degree in Financial Engineering, Mathematics, or a related field of study.
• Requires two years of experience as a Model/Analysis/Valid Senior Manager, Quantitative Risk Modeler, Financial Quantitative Analyst, or similar role.
• Requires 2 years of experience in model development or validation within treasury or liquidity risk management functions.
• Requires 2 years of experience with the banking regulatory environment, including Basel III principles, BCBS 239, and FRTB.
• Requires 2 years of experience with capital planning requirements from regulators such as FRB (CCAR, DFAST), OCC, ECB, and PRA.
• Requires quantitative programming skills in Python and R, along with advanced Excel knowledge.
• Requires expertise in data visualization, data analytics, and working with large datasets and database schemas.
• Requires experience with core banking, investment, and trading products across various global regulatory frameworks.