Date: Feb 24, 2014
Location: New York, NY, US
Manager/Senior Manager, Enterprise Model Validation Group-14002882
Description
Job Responsibilities:
The job has the following main objectives:
1) Ensure that each validated model is conceptually sound and empirically effective.
- Assess alignment between model objective and actual use
- Review model inputs for appropriateness and integrity
- Review logical and conceptual soundness of model methodology
- Evaluate techniques used for model development
- Assess the rationale for model assumptions and their relevance
- Review the code and/or calculation steps via replication and benchmarks
- Conduct various tests relevant to models including benchmarking, backtesting, and sensitivity testing
- Evaluate model governance and change management
- Write reports summarizing validation activities and outcomes
- Support regulatory exams and audit processes
2) Demonstrate to regulators that model validation is conducted with high quality and independence.
3) Provide modeling community with leading insight to drive modeling excellence at AXP.
Qualifications
Required Skills/Qualifications:
1) Technical Skills:
- A solid understanding of econometric concepts and approaches such as OLS estimator and finite-sample properties, asymptotic theory, generalized method of moments, panel data, maximum likelihood estimation, autoregressive processes, stationary and cointegration
- 3+ years of experience in mathematical and statistical modeling
- SAS programming, SQL and Excel
2) Analytical Skills:
- Excellent reasoning ability to identify and evaluate key issues in complex modeling contexts and genuine interest therein
- Ability to conceptualize complex, abstract ideas into solid, tangible representations through reasoning, mathematics and statistics
- Proven ability to learn skills and knowledge on demand in a compressed timeline
- Ability to research independently with a strong sense of discipline and responsibility
- Knowledge of internal business practice in finance, accounting, treasury, and risk management a plus
3) Communication and Project Management Skills
- Ability to write professional grade technical reports and presentations with commitment to quality and accuracy
- Ability to engage in global projects with a keen sense of meeting deadlines for key milestones
- Ability to build trust with partners including modeling teams and business units
- Ability to communicate with senior level executives including heads of business units and modeling teams with confidence
Educational requirement: (Advanced) degree in statistics, decision science, economics, or closely related field, or equivalent experience (preferred)
Job: Risk
Primary Location: US-New York-New York
Schedule: Full-time
Job Segments: Developer, Law, Manager, Database, SQL, Technology, Legal, Management
Description
Job Responsibilities:
The job has the following main objectives:
1) Ensure that each validated model is conceptually sound and empirically effective.
- Assess alignment between model objective and actual use
- Review model inputs for appropriateness and integrity
- Review logical and conceptual soundness of model methodology
- Evaluate techniques used for model development
- Assess the rationale for model assumptions and their relevance
- Review the code and/or calculation steps via replication and benchmarks
- Conduct various tests relevant to models including benchmarking, backtesting, and sensitivity testing
- Evaluate model governance and change management
- Write reports summarizing validation activities and outcomes
- Support regulatory exams and audit processes
2) Demonstrate to regulators that model validation is conducted with high quality and independence.
3) Provide modeling community with leading insight to drive modeling excellence at AXP.
Qualifications
Required Skills/Qualifications:
1) Technical Skills:
- A solid understanding of econometric concepts and approaches such as OLS estimator and finite-sample properties, asymptotic theory, generalized method of moments, panel data, maximum likelihood estimation, autoregressive processes, stationary and cointegration
- 3+ years of experience in mathematical and statistical modeling
- SAS programming, SQL and Excel
2) Analytical Skills:
- Excellent reasoning ability to identify and evaluate key issues in complex modeling contexts and genuine interest therein
- Ability to conceptualize complex, abstract ideas into solid, tangible representations through reasoning, mathematics and statistics
- Proven ability to learn skills and knowledge on demand in a compressed timeline
- Ability to research independently with a strong sense of discipline and responsibility
- Knowledge of internal business practice in finance, accounting, treasury, and risk management a plus
3) Communication and Project Management Skills
- Ability to write professional grade technical reports and presentations with commitment to quality and accuracy
- Ability to engage in global projects with a keen sense of meeting deadlines for key milestones
- Ability to build trust with partners including modeling teams and business units
- Ability to communicate with senior level executives including heads of business units and modeling teams with confidence
Educational requirement: (Advanced) degree in statistics, decision science, economics, or closely related field, or equivalent experience (preferred)
Job: Risk
Primary Location: US-New York-New York
Schedule: Full-time
Job Segments: Developer, Law, Manager, Database, SQL, Technology, Legal, Management
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