Model Risk & Development - Market Risk Capital - Risk Engines & Calibration ED - Global Securities, in Manhattan, New York For Sale

The RoleThis is a senior quantitative role (based in New York) with a high degree of visibility and influence, with a strong focus on developing the firm s risk modeling capabilities (specifically the risk engines and calibration). This will involve supporting meetings with US and UK regulators and explaining and helpingto present the bank s internal and external model development to them for approval. A further core element of this role is regular interaction with the front office and market risk, so credibility regarding VaR methodologies, products and trading is also necessary. The team needs to work closely with other model development teams in MRaD, Model Review Group (MRG), and coordinate deliverables with the appropriate teams in the front office, regulatory management, market risk management and IT to drive enhancements to models used for internal risk management and regulatory capital purposes. Candidates should have a track record of both managing and successfully developing quants with varying levels of experience and a range of communication and social skills. As such they need to be extremely confident of their modeling skills so that they can lead discussions among quant teams from across thebank. This person will also represent more senior Model Risk executives and act as their proxy when required. To achieve this they will need to be naturally hands-on and have a current analytical capability, a key element to success in this role will be gaining an understanding of complex legacy systems so that solutions to infrastructural problems can be quickly deduced, elegantly described and competently executed. Core responsibilities: Manage a team of risk modeling quants to support the risk engines and calibration activities for Basel 2.5 Market Risk RWA models [VaR-based Measure (VBM), Specific Risk (SR), Incremental Risk Charge (IRC), and Comprehensive Risk Measure (CRM)], as well as CCAR/DFASTIncremental Default Risk (IDR) RWA forecasting models. The wider team has an end-to-end model delivery mandate ranging from model specification, calibration, testing, documentation, implementation, systems delivery, regulatory approvals and ongoing benchmarking and performance monitoring Act as a technical expert in modeling discussions and presentations during onsite regulatory exams of market risk RWA CCAR/DFAST models by FRB, OCC and PRA. Develop and execute on a roadmap for ongoing RWA opportunities including internal model approvals for new products and new trading desks, remediation of add-ons, improvements in modeling infrastructure and remediation work on regulatory concerns and MRAs Work in close partnership with Regulatory Capital Management Office (RCMO) on various aspects of market risk model governance, control procedures, implementations and regulatory communications Qualifications Strong track record of project execution and successful delivery of Regulatory Market Risk Capital models and/or CCAR models Strong track record of providing technical leadership on Trading Book VaR and capital modeling themes with current regulatory focus, and active participation in industry forums related to assessment and feedback on Basel Capital proposals Experiencing of discussing modeling topics with Regulatory Agencies or internal audit and implementation review groups; ideally this experience will be related to trading book capital (VaR, RWA and CCAR/DFAST/ICAAP). Ability to work across organizational boundaries and building partnerships with all key stakeholders on capital issues (LoB Finance/Controllers, Traders and Risk Managers, Regulatory Policy, Market Risk Management, VaR Methodology Development, Market Risk Technology, Market Risk Middle Office, RWA Reporting, central CCAR Project management) PhD in Applied Math, Physics, Economics (quantitative), Engineering or similar Excellent analytical and problem solving skills Inquisitive nature, an ability to ask the right questions and escalate issues Risk Control mindset Teamwork oriented Excellent communication skills (written and verbal)
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