Ваш надійний партнер в пошуку роботи та підборі персоналу
Quantitative risk analyst in Model Risk Management Team
Capital planning model validation
- Conducted review of the risks of quantitative models for the regulatory exercises CCAR/DFAST, RRP for Pre-Provision Net Revenue (PPNR) and Balance sheet projections. As a part of model validation, evaluated model assumptions, conceptual soundness, variable selection and model development processes. Performed independent model testing that includes econometric and data analyses, backtesting, scenario and sensitivity analyses. Identified model limitations, estimated their materiality.
- Enhanced model dependency map for Model validation team by creating the list of model feeders involved in CCAR calculation such as PPNR, Stress Loss, RWA and scenario design models.
- Investigated the use of the pricing models and MPE simulations for the novation cost calculations within RRP exercise.
Treasury model validation
- Validated changes to internal Liquidity Stress Testing methodology used and developed by Treasury to define liquidity reserve needs (contingency funding plan, CFP) of the Firm and of the separate legal entities. Assessed funding liquidity risk for Lending businesses and derivative products of the Firm.
- Validated Fixed Income instruments pricing models (vanilla and fixed to float callable bonds) issued by Treasury. Evaluated the correctness of Hedge accounting application by verifying the effectiveness of Fixed Income instruments hedged with vanilla swaps.
- Primary reviewer of Net interest Income and liquidity stress test models for MS China
- Created supplementary tools in R (knitr package), VBA Excel, and Matlab to assist the validation of the models such as Monte Carlo simulations, bootstrapping and statistical diagnostic testing.
- Lead a team of 15 consultants assisting CCAR/ DFAST validation process.
- As a part of model validation, build strong relationships with Models developers (Strats) and model users (Corporate Treasury, Business units)
Підписатись на розсилку нових резюме: "Старший аналитик в Києві"