Minimum of Masters degree, or foreign equivalent, in Quantitative Finance, Mathematics, Statistics, Financial Economics, or related field and at least three 3 years of experience as a Model Developer, Model Reviewer, Quantitative Finance Analyst, or related occupation. Must have at least three 3 years of employment experience with each of the following required skills Utilize programming languages such as Python, R, Excel etc. to review model results and conduct additional independent tests where necessary; Knowledge of analytical skills to provide both conceptual and empirical analysis of statistical models; Knowledge of quantitative finance to interpret model outputs and assess model conceptual soundness; Knowledge of wholesale credit risk analysis to review wholesale portfolios credit risk metrics and models, such as PD, LGD and Capital Charge; Knowledge of financial statement analysis to assess assessment the balance sheet related forecasting models; Knowledge of Basel III rules and risk metrics, especially the Value at Risk VaR and Risk Weighted Asset RWA, to validate the RWA spot calculation and projection models; Produce comprehensive report and presentations for key senior stakeholders in the CCAR model review process; Provide support to facilitate audit and regulatory review.
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