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Model Risk Management Specialist

KGO Consulting
Full Time
Weston, FL 33331
Posted 12 days ago
Job description

Job Title: Model Risk Management Specialist

Job ID#: MS0829

Employer: KGO Consulting, LLC

Worksite: 3628 Heron Ridge Ln, Weston, FL 33331

Responsibilities:

  • Validate and enhance current asset and liability forecasting and predictive models using R/SAS.
  • Validate portfolios via the assessment of market factor data, market factor sensitivity and sensitivity grids, multivariate-normal random number generator, actual, hypothetical, and convergence back testing, historical VaR benchmark, regression of partial valuation on full valuation, stress and sensitivity testing, and approximation of 10-day VaR based on scaled-up 1-day Vol using Python.
  • Validate liquidity risk stress testing assumption for the consolidated balance sheet, ALM forecast methodology, yield curve scenario, and interest rate model selection for the measurement of NIM, EVE, EaR, and duration GAP.
  • Review current fixed income and credit risk models using R/Python.
  • Perform big data analytics (SQL and Non-SQL database) with Apache Spark and Machine learning applications, executed machine learning use cases under Spark ML and Mllib.
  • Perform gap analysis to resolve MRA raised by the regulator for model risk management framework in terms of the model lifecycle including model validation, ongoing performance evaluation, and annual model reviews.
  • Discuss findings with internal and external stakeholders, write validation reports, and manage model risk.

Requirements:

  • Master’s degree in Accounting, financial mathematics, or a closely related discipline.
  • 24 months of Financial-related experience.
  • Capable of working with SAS, SQL, Python, MATLAB, C/C++.
  • Telecommuting is allowed for this position.
  • Travel to client sites within the US to perform job duties is required.

To apply, mail CV w/ Job ID# MS0829 to Kevin Oppenheimer, 3628 Heron Ridge Ln, Weston, FL 33331.

Job Type: Full-time

Benefits:

  • 401(k)
  • 401(k) matching
  • Health insurance
  • Paid time off
  • Professional development assistance
  • Tuition reimbursement

Physical setting:

  • Office

Schedule:

  • 8 hour shift
  • Monday to Friday

Work Location: One location

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