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Manager, Model Risk

Company: Protiviti Inc.
Location: Chicago, IL
Posted on: October 12, 2018

Job Description:


Position: Manager, Model Risk (Chicago, IL)

Protiviti is a global consulting firm that helps companies solve
problems in finance, technology, operations, governance, risk and
internal audit. Through our network of more than 70 offices in over 20
countries, we have served more than 35 percent of FORTUNE® 1000 and
Global 500 companies. We also work with smaller, growing companies,
including those looking to go public, as well as with government
agencies.

Protiviti is a wholly owned subsidiary of Robert Half International Inc.
(NYSE: RHI). Founded in 1948, Robert Half International is a member of
the S&P 500 index.

Duties: Conduct model risk assessments and accumulate event data for
clients. Provide advisory and methodological support for quantification
and operational risks. Plan, budget and manage client engagements, and
advise clients on risk. Recognize potential client risk and communicate
identified risks. Research technical and industry trends and recommend
risk management solutions. Review, validate and develop quantitative
models related to market, credit, operational, liquidity risk capital,
ERM, insurance models, stress testing, and Basel 2. Develop and validate
models in order to identify areas of risk. Evaluate, develop, and
implement credit and market risk measurement tools. Assist engagement
directors in managing engagement profitability. Participate in
engagement sales opportunities. Mentor, train, and assist consultants in
developing technical and professional competency.

Requirements: Master’s degree (or foreign equivalent) in Finance,
Statistics, Mathematics, Financial Engineering or related field, and two
years of experience performing model validation and model audits

Special Requirements

• Demonstrated expertise building, validating, and auditing margin
models, market risk models, credit risk models, stress testing, pricing
models, and anti-money laundering (AML) models;

• Demonstrated expertise modeling Credit Risk Economic Capital to
support Basel II and SR 11-7 capital adequacy processes;

• Demonstrated expertise performing model support for
Comprehensive Capital Adequacy Review (CCAR), Dodd Frank Act Stress Test
(DFAST), and PPNR;

• Demonstrated expertise performing programming for statistical
and computational analysis, and data mining and analysis utilizing SAS,
Matlab, R, and VBA;

• Demonstrated expertise interpreting and benchmarking vendor
credit portfolio modeling methodologies, including multi-factor models,
logistic regression, covariance matrices models;
• Demonstrated expertise in SQL, including sourcing from multiple
systems, transforming, creating reference tables, and filling data gaps;
and conducting QA tests through data querying;

Submit resume to Job Code MMR2018, Dana S. Portnoy, Protiviti, 125 High
Street, 17th Floor, Oliver Street Tower, Boston, MA 02110

Keywords: Protiviti Inc., Chicago , Manager, Model Risk, Finance , Chicago, IL, Illinois


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