The Models COE is part of Global Wealth and Investment Management (GWIM) and is responsible for maintaining the inventory of GWIM investment models and supporting model development including investment and revenue forecasting models. Responsibilities of the team include documentation and testing of investment models as per the enterprise risk management model validation standards, on-going monitoring of model performance, maintaining the model inventory and managing all processes/controls related to model validation. Additionally, the models COE develops investment and revenue forecasting models for use by financial advisors, portfolio managers and business leadership across GWIM.
Reporting to the head of Models COE, this is a senior quantitative role with primary responsibility including supporting development of new models and documentation and testing of new and existing models for model validation purposes. The candidate will support development of challenger and benchmark models, enhancement to existing models through addition of new functionalities and development of new models/applications for use by business partners across GWIM. Additionally, the candidate will support the development of models for use by GWIM leadership and in particular Strategy in forecasting GWIM revenue and understanding drivers/sensitivities.
The candidate will work closely with numerous business partners including Model Risk Management and with Lines Of Business to ensure that existing and new models satisfy business needs and comply with the enterprise model validation policies and procedures. The candidate will also work closely with GWIM Strategy business and data analysts in development of models/tools to understand revenue drivers.
Key responsibilities for this position include:
- Work with stakeholders including model owners/users, ModelRisk Management, Compliance,Risk Management andAuditto ensure all existing and new GWIM models comply with both regulatory and enterprise model validation requirements including:
- Maintaining ongoing monitoring requirements for selected models
- Complete MRM Required Action Items assigned by Model Risk Management typically involving enhancements to submitted model documentation and testing
- Review, edit and draft technical model documentation across the model inventory
- Design, implementation, execute and report results of model testing as appropriate across the model inventory, both as part of on-going monitoring and model validation
- Understand both upstream and downstream model dependencies across the inventory to identify and resolve model related risks
- Work with key stakeholders, particularly Model Risk Management, in focusing validation efforts at reducing model risk and complying with bank requirements
- Supportinvestment andwealth managementmodeling use across GWIM.
- Analyze model requirements as needs of business partners evolve
- Support design, development, testing and implementation of new models, internal or third party
The ideal candidate will be an experienced professional and possess the following:
- 10 years of experience in quantitative roles in investment management, risk management, model validation, wealth management or related.
- An advanced quantitativedegree from a top-tier institution, e.g. math, finance, economics, engineering, physics, statistics or a related field.
- Experience in quantitativeinvestment modeling and investment analytics, including regression analysis, optimization models, machine learning, factor models and risk management metrics.
- Experience with and ability to work with data
- Experience in communicating technical concepts to senior risk management and business leadership
- Knowledge of financial markets, portfolio management concepts, probability theory and statistical / econometric modeling and their application to investment and portfolio management principles.
- Excellent written, verbal communication and interpersonal skills
- Experience in developing and reviewing code used in financial analytics and statistical analysis, e.g., Matlab, R, Python, C++/C#, VB.
Ability to multi-task and efficiently negotiate changing priorities and responsibilities.
Job number: 18028792