Vice President, Model Risk Management II

The Bank of New York Mellon seeks a Vice President, Model Risk Management II for its New York, NY location.DUTIES: Contribute to highly visible enterprise-wide model development functions in the organization that make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis. Execute enterprise standards for model validation, by setting the scope of a validation effort. Design the tests and review activities necessary to evaluate a model. Responsible for evaluating the strengths and weaknesses of a model's conceptual framework to identify situations where a model may become less useful. This includes work in one of five disciplines, each responsible for a different type of modeling: 1) Credit Risk Modeling; 2) Treasury Modeling; 3) Market Risk Modeling; 4) Pricing Modeling; 5) Forecasting. Evaluating the strengths and weaknesses of a model's conceptual framework to identify situations where a model may become less useful. Identify and evaluate model risk as well as propose controls to manage that risk. Investigate the weaknesses of a framework and setting the scope and designing tests for a validation effort, appropriate to that framework. Reviews accuracy of reports, calculations, test, risks, and controls proposed by less experienced colleagues to formulate an overall plan. Review the risks identified by more junior analysts and formulating the proposed controls into a plan of action for management. Responsible for the technical direction, accuracy and soundness of quantitative methods in the assigned area. Recommend decisions and assumptions with an impact on the financial and risk position of the Bank or legal entity supported. Remote work may be permitted within a commutable distance from the worksite.REQUIREMENTS: Master’s degree, or foreign equivalent, in Financial Engineering, Mathematics, Physics, Statistics, Econometrics, or related field, and two (2) years of experience in the job offered or in a related occupation. Two (2) years of experience must include: Performing quantitative modelling, numerical analysis, and computational methods using programming languages including C/C++, C#, Java, FORTRAN, MATLAB, SAS as well as mathematical/statistical software packages; Performing financial modeling techniques, including value-at-risk type of models, interest rate models, risk quantification and forecast models, and stochastic calculus to execute enterprise standards for model valuation and identify model risk; Using data summary and visualization, hypothesis testing, estimation, regressions, time series analysis, and machine learning; Conducting independent research, analyzing problems, formulating, and implementing solutions, and producing quality results on time, with a strong focus on validating and assessing complex financial models including in-depth examination of model assumptions, methodologies, and strengths and weaknesses, as well as identifying of model usage under different scenarios. Salary Range: $128,211.00 to $179,000.00/yr. Qualified applicants please apply online at https://bnymellon.eightfold.ai/careers and utilize reference code #58356. Please indicate “referral source - advertisement - SWA.”

Minimum Salary: 128,211 Maximum Salary: 179,000 Salary Unit: Yearly