Vice President, Risk / Policy Management
Core
Validate and challenge liquidity and capital planning models (ILST, Net Interest Income Sensitivity) for US, Europe, and Asia, ensuring compliance with global banking regulations.
Role type
Senior IC quantitative risk modeler (liquidity & capital planning)
Builds
Validated risk models and regulatory compliance reports for global treasury and liquidity risk teams
Domain
Banking / Financial Services / Regulatory Compliance
Deliverable
production ML models
Required skills
Model validation, Treasury/Liquidity risk management, Banking regulations (Basel III, BCBS 239, FRTB, FRB SR 11-07, etc.), Quantitative programming (Python, R, Advanced Excel), Data visualization, Capital planning (CCAR, DFAST, ICAAP), Data lineage and database schema
Preferred skills
Experience with large datasets and data warehouses
Technologies
Python, R, Advanced Excel, Data visualization tools
Responsibilities
Review and challenge model assumptions and mathematical formulations; Independently test ILST and Net Interest Income Sensitivity models; Communicate model issues to global/regional treasury and liquidity risk teams; Answer regulatory and internal audit requests; Develop monitoring tools to quantify model risks and thematic risks; Create validation reports highlighting risks and limitations; Collaborate with Model Control Officers and Risk Managers to manage model lifecycle
Seniority
Senior, hands-on IC
