Model Risk Analyst

4 weeks ago


New York, United States Mindlance Full time

Job Title: Financial Risk Modeling Analyst - Wholesale Credit Stress Testing

Location: New York, NY (Hybrid)

Duration: 6+ Months (Possible Extension/Conversion)


Responsibilities:

  • Execute periodic stress testing exercises to monitor WCR’s risk appetite and identify vulnerable areas.
  • Provide analytics support to explain the stress test outcome for wholesale lending products.
  • Partner with business units and risk managers to assess data availability and fit for purpose modeling approaches.
  • Interact with model developers, model risk governance, business risk, internal audit.
  • Leverage business / product expertise to evaluate and challenge the stress loss assumptions in hypothetical and historical stress scenarios.
  • Gather and analyze portfolio and macro-economic data to assess potential impact on business performance and integrate the trends to the portfolio loss forecast.
  • Research on 3rd party data, loss history and alternative models to build inventory of benchmarks.
  • Develop deep expertise in stress testing methodologies and validate fit for purpose usage in BAU stress testing management.
  • Contribute and refine current model performance monitoring process to interpret model output and identify opportunities for future improvements.
  • Create a new scenario design capability leveraging existing models & data to translate emerging risk to economic scenarios, model inputs or portfolio shocks.
  • Perform quarterly gap assessment between scenario coverage and material risk inventory.
  • Build tools & analytical capabilities to support outcome analysis, loss forecasting reports and what if analysis.
  • Works with large datasets and complex algorithms to derive analytical insights, identify data quality issues and support trend analysis.
  • Leverages big data to develop innovative deployable solutions.


Qualifications:

  • 5+ years’ experience working in financial institutions.
  • Sound knowledge of statistical modeling concepts and industry best practices; experience with econometric and statistical modeling or application risk scoring.
  • Excellent quantitative and analytic skills; ability to derive patterns, trends and insights, and perform risk/reward trade-off analysis.
  • Experience with analytical or data manipulation tools (e.g. Tableau, Python, R)
  • Proficient with MS Office suite.
  • Past experience working on stress testing, model analytics, benchmarking and review & challenge function.
  • Knowledge on scenario design, sensitivity shocks and risk identification process
  • Good interpretations skills to convey complex quantitative methodology in simple terms.


Education:

  • Bachelor’s/University degree or equivalent experience, potentially master’s degree


EEO

“Mindlance is an Equal Opportunity Employer and does not discriminate in employment on the basis of – Minority/Gender/Disability/Religion/LGBTQI/Age/Veterans.”



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