Vice President, Model Risk Management II

The Bank of New York Mellon seeks a Vice President, Model Risk Management II for its Pittsburgh, PA location.

DUTIES: Contribute to highly visible enterprise-wide model development function in the organization. Make estimates that are a key input to management decisions and are reported to Senior Management and the Board of Directors on a regular basis. Execute enterprise standards for model validation. Responsible for leading work to identify and evaluate model risk as well as proposed controls to manage that risk. Investigate the weaknesses of a framework and setting the scope and designing tests for a validation effort, appropriate to that framework. May work in one of five disciplines, each responsible for a different type of modeling: 1) Credit Risk Modeling 2) Treasury Modeling 3) Market Risk Modeling 4) Pricing Modeling 5) Forecasting Execute enterprise standards for model validation, by setting the scope of a validation effort. Design the tests and review activities necessary to evaluate a model. Evaluate the strengths and weaknesses of a model's conceptual framework to identify situations where a model may become less useful. Review risks and formulate the proposed controls into a plan of action for management. Provide technical direction, accuracy and soundness of quantitative methods in the assigned area. Remote work may be permitted within a commutable distance from the worksite.

REQUIREMENTS: Master’s degree, or foreign equivalent, in Engineering, Mathematics, Physics, Statistics, Econometrics, Quantitative Finance, or a related field, and two (2) years of experience in the job offered or in a related quantitative occupation in the financial services industry. Two (2) years of experience must include: Analyzing and interpreting large and complex datasets, evaluating data quality, accuracy, and availability and identifying relationships, trends, and patterns in data; Applying quantitative and financial modeling techniques, including regression analysis, hypothesis testing, time series analysis, and machine learning/AI for risk quantification, forecasting, model valuation, and model risk; Implementing and executing data analysis, modeling, and testing using statistical software including Python, R, or SAS and mathematical and statistical software packages; Conducting independent research, analyzing problems, formulating, and implementing solutions, and producing quality results on time; and Validating and assessing complex financial models including in-depth examination of model assumptions, methodologies, and strengths and weaknesses, as well as identifying model usage under different scenarios. Qualified applicants please apply online at https://bnymellon.eightfold.ai/careers and utilize reference code #67296. Please indicate “referral source – advertisement – WEB.”

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