Responsible for performing highly complex activities related to creation, implementation, documentation, validation, articulation and defense, on-going maintenance of complex models grounded in highly complex statistical theory used to quantify, analyze and manage operational risks or to forecasts losses and compute capital requirements. Duties typically include advising on or participating in the discussion related to analytical strategies, modeling and offering insights regarding a wide array of business initiatives. This job requires application of analytical, statistical modeling, and forecasting methods and focuses on the theory and mathematics behind the analyses. This job requires the ability to synthesize data to "form a story" and align information to contrast/compare to industry perspective. Incumbents are heavily quantitatively and technically oriented and have strong communication skills.
In this role, the individual will participate in the development and implementation of Operational Risk capital models used for quantifying Basel III regulatory capital and internal economic capital.
The position is also responsible for quantifying operational risk which has unique characteristics due to its fat-tailed nature. The work is new, challenging, and complex, requiring estimation at very high confidence levels with limited historical and forward-looking, and quantitative/qualitative data.
Duties include participating on a high-performance team including discussions related to analytical strategies, performing analytical modeling/support, and offering insights regarding an array of quantitative techniques and initiatives.
· Analyze, design and code the Operational Risk models.
· Coordinate and work with various data teams (for example Internal Loss Data team, Scenario Analysis team, etc.) regarding data requirements and the selection of data for modeling.
· Develop and implement a system of sustainable data and process controls (around models) in conjunction with the controls team to meet model risk management policies.
· Collaborate with the Technical Writer to document the model design and the required documentation for model validation and regulatory reviews and exams.
· Consult and provide support on the use of the modeled estimate in the Regulatory capital reporting submission.
· Interpret and synthesize the regulations with known industry practices and the our client’s capabilities/limitations.
· Cross reference and leverage insights from other models and risk disciplines (Credit & Market) to enhance the discipline.
· Apply strong attention to detail, proven accomplishments in independent research and analysis will help ensure success in this role.
Required Qualifications and Experience
· 2+ years of experience in an advanced scientific or mathematical field.
· A MSc or higher education level in a quantitative field such as mathematics, statistics, engineering, physics, economics or computer science.
· 2+ years of advanced skills in SAS, R or Matlab for modeling.
· 2+ years of statistical modeling experience.
· 2+ years of work experience in operational risk
· Outstanding problem solving and analytical skills with ability to turn findings into strategic imperatives
· Ability to prioritize work, meet deadlines, achieve goals, and work under pressure in a dynamic and complex environment
· Excellent verbal, written, and interpersonal communication skills in English