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Sr Vice President (SVP) - Model Validation - APS Trading and Market Risk

Company: Santander Holdings USA Inc
Location: Emerson
Posted on: June 23, 2022

Job Description:

New York, United States of America

WHAT YOU WILL BE DOING

The Executive Director, Model Validation lead for APS Risk management and Trading models will be responsible for leading the independent validation of models used by Amherst Pierpont Solutions (Models) in conformance with regulatory guidance on model risk SR11-07 and FRB requirements around the Market Risk Rule (MRR). S/he will be responsible for performance robust validations, quality of effective challenge and validation reports of a wide variety of models against US supervisory guidance, established internal standards. The role involves external communication with business, development, internal audit and regulators. As part of the validation activities, the person is expected to lead discussions with the traders, market risk, model developers and third-party vendors and developing in depth perspective on model risk issues. Furthermore, the person is expected to lead the day-to-day governance responsibilities such as ongoing performance monitoring, orderly remediation of findings, and annual reviews. The person will also be responsible to represent model risk for all discussions and exams conducted by internal audit and the US regulators such as FRB and OCC.

  • Evaluates model assumptions and weaknesses, prepares reports describing the results of the validation analyses and list the recommendations for addressing any issues identified
  • Conducts robust validations of a wide variety of models against established standards, developing benchmark, challenger and replication models where applicable
  • Advises senior personnel in their communications with risk committees, auditors, regulators, and senior management regarding model risk and its potential effects on the risk profile of the organization
  • Develops and executes initiatives such as researching new trends in modeling and approaches to the management of associated model risk
  • Manages the resolution of findings with model owners and developers
  • Partners with model owners and developers to understand the business context for model use, producing technical guidance and adding value to the business process
  • Reviews ongoing model performance, assess overall model health within a given framework, identify potential problems and work with stakeholders to resolve issues identified.At Santander, we value and respect differences in our workforce and strive to increase the diversity of our teams. We encourage everyone to apply.

    Required Qualifications, Skills and Experience
    • PhD or Master's degree in Finance, Economics, Mathematics or other relevant field of study.
    • At least 8-10 years of experience in Model Development and/or Validation of, Trading, Valuation, Risk Management function at an investment bank or hedge fund.
    • At least 5-7 years of quantitative experience in model development or independent validation of structured products and fixed income derivatives valuation and risk management models & analytics. Notably: Structured Products - MBS, MBS Options, ABS, CMBS, Interest Rate Derivatives - IRS, Swaptions, IR Futures, FX Options, Credit Derivatives - CDS, Corporate Bonds, Convertibles Bonds, etc.Market Risk Models and US Regulatory Rules: Market Risk Rule, FRTB, Basel 2.5, IRC, Trading Book VAR and S-VAR

      Fixed Income Modeling and Validation: 5-7 years of experience in Agency & Non Agency Prepayment Modeling, Term Structure Modeling, Monte Carlo techniques, Stochastic Calculus, Econometrics, OAS Framework, Machine Learning and AI Models.

      • Solid communication skill is required. Ability to work with senior management, auditors and regulators.
      • Excellent quantitative and qualitative analysis skills, outstanding time and stress management skills, team-work spirit. Ability to apply mathematical and programming skill in a highly practical way in order to solve problems.
      • Programming capabilities: Hands on programming skills required in common programming languages and packages like R, Python, C++, SAS etc.
      • Strong computer aptitude and ability to learn and utilize financial risk systems and other proprietary trade systems, Murex knowledge is a plus.
      • As a responsible level the team member should be a self-starter and need minimal direction from managers in pursuing projects.Diversity & EEO Statements: At Santander, we value and respect differences in our workforce and strive to increase the diversity of our teams. We actively encourage everyone to apply.

        Santander is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, genetics, disability, age, veteran status or any other characteristic protected by law.

        Working Conditions: Frequent Minimal physical effort such as sitting, standing and walking. Occassional moving and lifting equipment and furniture is required to support onsite and offsite meeting setup and teardown. Physically capable of lifting up to fifty pounds, able to bend, kneel, climb ladders.

        Employer Rights: Employer Rights: This job description does not list all of the job duties of the job. You may be asked by your supervisors or managers to perform other duties. You may be evaluated in part based upon your performance of the tasks listed in this job description. The employer has the right to revise this job description at any time. This job description is not a contract for employment and either you or the employer may terminate at any time for any reason. Masters of Science (MS) - Mathematics English Required Qualifications, Skills and Experience
        • PhD or Master's degree in Finance, Economics, Mathematics or other relevant field of study.
        • At least 8-10 years of experience in Model Development and/or Validation of, Trading, Valuation, Risk Management function at an investment bank or hedge fund.
        • At least 5-7 years of quantitative experience in model development or independent validation of structured products and fixed income derivatives valuation and risk management models & analytics. Notably: Structured Products - MBS, MBS Options, ABS, CMBS, Interest Rate Derivatives - IRS, Swaptions, IR Futures, FX Options, Credit Derivatives - CDS, Corporate Bonds, Convertibles Bonds, etc.Market Risk Models and US Regulatory Rules: Market Risk Rule, FRTB, Basel 2.5, IRC, Trading Book VAR and S-VAR

          Fixed Income Modeling and Validation: 5-7 years of experience in Agency & Non Agency Prepayment Modeling, Term Structure Modeling, Monte Carlo techniques, Stochastic Calculus, Econometrics, OAS Framework, Machine Learning and AI Models.

          • Solid communication skill is required. Ability to work with senior management, auditors and regulators.
          • Excellent quantitative and qualitative analysis skills, outstanding time and stress management skills, team-work spirit. Ability to apply mathematical and programming skill in a highly practical way in order to solve problems.
          • Programming capabilities: Hands on programming skills required in common programming languages and packages like R, Python, C++, SAS etc.
          • Strong computer aptitude and ability to learn and utilize financial risk systems and other proprietary trade systems, Murex knowledge is a plus.
          • As a responsible level the team member should be a self-starter and need minimal direction from managers in pursuing projects.Primary Location: New York, New York, United States of America

            Other Locations: New York-New York

            Organization: Santander Bank N.A.

Keywords: Santander Holdings USA Inc, Tenafly , Sr Vice President (SVP) - Model Validation - APS Trading and Market Risk, Executive , Emerson, New Jersey

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