The Associate Director, Risk Modeling is responsible for leading and overseeing projects associates with the Company's quantitative models, model design, and model misuse of a model or its output.
Specifically, the candidate will review and validate all the models in the Market Risk, trading and derivative pricing area.
Models to validate include: FRTB, VaR, PFE, XVA, Bermudan options, Caps and Floors/Swaptions Black model, Foreign Exchange volatility surface construction, Interest Rates Multicurve framework...
The incumbent is responsible for executing model risk management activities consistent with the framework, industry best-practice and regulatory guidance.
- Assess and evaluates model conceptual soundness, model assumptions, and data integrity
- Communicates with senior management on risk modeling, decision, and data for improved efficiency, effectiveness, and/or risk reduction to the company
- Develops new methodologies and approaches to the management of model risk
- Executing model risk management activities and projects consistent with the Enterprise MRM framework, industry best-practice and regulatory guidance
- Informs perspective on market environment, future trends, and emerging risk issues
- Proactively identifies areas of issues or concerns related to potential gaps in existing processes, procedures, policies, frameworks
- Promotes a risk management culture by encouraging team to embrace appropriate risk practices and supporting team members in fulfilling risk management responsibilities
- Responds to required corrective actions in a timely and complete manner
- Tests risk model numerical, statistical, and computational accuracy; performs outcomes analysis; and reviews model governance and control process.
At Santander, we value and respect differences in our workforce and strive to increase the diversity of our teams. We encourage everyone to apply.
- Bachelor's Degree; Mathematics, Physics, Statistics or equivalent quantitative field
- Master's Degree; Mathematics, Physics, Statistics or equivalent quantitative field Ph.D.; Mathematics, Physics, Statistics or equivalent quantitative field or equivalent work experience
- 12-15 years; Risk Management, Risk Modeling, AML, Financial Services industry. Focus in the derivative pricing area.
- Proven experience with Financial markets and products.
- Proven experience with derivative pricing models.
- Demonstrated knowledge of data querying languages and software.
- Strong MS Office (Excel, PowerPoint, Word, and Outlook) skills.
- Programming languages: Python, Matlab, Visual Basic, C++.
- Strong quantitative capabilities and analytical skills, including an investigative mindset.
- Ability to lead complex projects with outstanding awareness of the Operational Risk associated
- Adherence to the Code of Conduct, assigned Risk Tolerance or Mandates and all organizational policies and procedures applicable
- Comprehensive knowledge of front to back risk mgmt. processes, including: Operational risk, Risk identification, assessment, mitigation and control, Governance and reporting, Monitoring and testing, Operational risk modeling, capital calculation and demonstrated stress testing techniques
- Demonstrates an informed perspective on Market environment, future trends, and emerging
- Knowledge of banking regulatory environment and impact on risk, management practices
- Strong negotiation and presentation skills
- Strong quantitative skills and practical modeling experience
- Successful track record in achieving outstanding levels of delivery, performance, challenge, and oversight
- Superior project management skills
- Minimal physical effort such as sitting, standing, and walking
- Brings out the best in each team member by consistently motivating and acknowledging peer contributions
- Understands and leverages team dynamics
- Effectively conveys difficult or complex information in an easy-to-understand manner, by providing the big picture and illustrating important linkages
- Asks open-ended questions that encourage others to give their points of view
- Ensures people receive the information they require, and brings the team together to share information
- Ensures that all directs and colleagues have appropriate knowledge of risk and the regulatory environment
- Investigates and identifies the root cause and corrects items deemed non-compliant, regardless of pressures from business or management
- Fully accountable for timeliness, completeness, quality of projects, processes, products and services
- Remains calm and focused on goals while facing pressures, obstacles or short-term setbacks
- Improves relationships between key individuals to achieve seamless cross-team workflow and positively impact results
- Uses informal networks to gain support for ideas and projects
- Keeps up to date with external market events, pressures and regulations which may impact the organization and assesses whether similar issues exist in the organization
- Can identify functional and organizational implications associated with major trends
- Designs solutions to address industry activities that impact the organization
- Monitors adherence to policies, regulations, processes and procedures within function and actively undertakes corrective action where necessary
- Understands end to end processes across the organization and how processes are integrated
- Has a practical knowledge of regulations impacting area supported