Validating financial models
We are looking for someone like you to: • validate Treasury Risk models that are used exclusively in the US, and also perform detailed analysis and quality assurance on models validated at UBS Group or at offshore locations, to ensure alignment with SR 11-7, SR 15-18 and other US regulatory requirements.
• interface with US regulators, audit and model sponsors and US senior management on Treasury risk models (interest rates, liquidity), and therefore must be fully familiar with all the models in use and the corresponding regulations in the US.
• achieved the Director or VP title equivalent at a reputable financial institution developing or validating credit risk models.
• 5 years of hands on experience in developing or validating models in either Market Risk or Treasury Risk.
Having a strong model risk foundation that includes sound procedures, techniques, and standards to validations is key. Where we will all learn from each other is the differences in our approach to the complexities of CECL – it is unique in that it is an accounting standard that will now require an economic forecast.All my roles prior to UMB were in finance such as a Financial Analyst to Director of Finance all with primary responsibilities in budgeting and forecasting.In 2015 I shifted my focus and developed the Model Risk Management program at UMB.The rule will take effect 60 days after publication in the Federal Register.Under the final rule, the GSEs will use a four-phase process to validate and approve credit score models, with each phase following an established time frame.
Summary The potential of artificial intelligence and machine learning (ML) to deliver value to financial institutions has created something of a gold rush in adopting this methodology for applications.