Responsibilities
Models used in the US are for a large proportion developed by Head office and used by CACIB on a worldwide basis. In order to strengthen the integration within the Group governance and also to take into account local specificities and requirements (when existing), the Bank has created in New York an independent validation and model risk team (VRM NY) in charge of reviewing local models and Head office models as part of a common platform between VRM Paris and New York.
Validation
Conduct CACIB models review as per the validation guidelines and the regulations requirements (SR 11-7, CDR4, TRIM guide) in liaise with Head Office by:
- Proposing an annual work plan on models to be reviewed based on model development plans and model risk assessment, following-up advancement and updating this working plan quarterly,
- Challenging effectively and independently the decisions made during development, follow-up and use of models identifying, assessing and quantifying model risks
- Writing validation reports presenting model strengths and weaknesses and proposing corrective actions to mitigate model risk through reserves, add-ons, uses limits, etc
- Organizing the discussions with model owners, developers and users throughout the validation process including a contradictory exchange on the findings and the corrective actions plan with model developers and users
- Presenting qualitative conclusions and recommendations within internal governance framework in Validation Committee (COMET)
- Maintaining an audit trail of all the validation work and the exchanges with all relevant model stakeholders during the validation process by archiving validation materials (data, spreadsheets, computer code)
Model Risk Management
Contribute to Model Risk Management processes on CACIB models at Head office and Combined US Operations (CUSO) levels:
- Presenting within the Group governance the validation work including advancement of the annual model review work plan, conclusion of the reviews, follow-up of remediation actions plans,
- Assessing model risk consistent with local and Head Office standards in particular by weighing quantitative aspects with regard to environment of use and ongoing controls processes,
- Providing an opinion on local models risks assessment for New York management to enlighten decision to be taken on models and relative processes governing model-cycle.
Others
- Following up on upcoming new regulatory requirements and their impacts
Business type: Risk management / control
Contract type: Permanent contract
Management position: Yes
Salary range: $180,000 - $220,000