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Top Tier Investment Bank's Fixed Income Analytics Model Control Group is responsible for developing and implementing standards and controls for models. The group improves risk management practices and helps the Division comply with regulatory requirements.
Primary Responsibilities include:
Monitoring ISG’s model usage-models have limitations that can lead to suboptimal valuations and risk management decisions. Analyze model usage at ISG, Business unit and desk live to identify exposure to model risk.
Monitoring Model exposures- Identify and investigate large moves in risk exposures
Performing product to model mapping-Understand products, models, their limitation and appropriate scope use
In Addition:
Supporting the New Model Approval process- Monitor that all new models and amendments to existing models are being properly scrutinized through the model approval process and that the business remains in compliance with policies
Maintaining model inventory-Ensure that submissions are complete and accurate. Assist participants with the New Model Approval process.
Supporting continuous improvement-Help identify opportunities for improvements and participate in projects to enhance model controls
Supporting ad-hoc analyses and report on model risks and exposures
Skills Required
Bachelors degree with a concentration in Finance, Mathematics, Economics, Science or Engineering
3-5 years job experience in Risk Management, Trading or related areas, such as model development, controller/audit function, consulting, etc.
Sound understanding of financial instruments and market risk measures, must be able to acquire good knowledge of the products and models
Proficient with Excel
Good verbal and written communication and interpersonal skills
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