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