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Sr. Risk Officer in Atlanta, GA at Vaco

Date Posted: 7/30/2018

Job Snapshot

Job Description


The Model Risk Management unit is responsible for Model Risk Management for US operations. Vital to its purpose is making sure that model risk (Credit / Market) across the enterprise is appropriately identified, modeled, validated, understood, documented and incorporated into management routines. Model Risk Management is also responsible for overseeing the Model Governance program and this program's compliance with regulatory requirements.

These positions will focus on the Atlanta Credit or Market Risk Model Validation teams.


  • Responsible for evaluating and managing risks associated with the company's market or credit risk models, including models of derivative pricing, market risk VaR, counterparty credit exposure, balance sheet ALM and liquidity management, mortgage backed security and mortgage servicing right valuation, etc.
  • Assess model risks by performing detailed model validation reviews, establishing performance thresholds; researching model approaches, creating alternative models and benchmarks
  • Report findings to model owners and management, and ensure those findings are addressed timely and appropriately
  • Make expert recommendations to Senior Management about proposed new models or model changes, and advise them on model's quantitative and theoretical issues
  • Keep pace with the latest developments in academia, regulatory environment, risk technology (vendor and in-house) and financial services industry to provide expert guidance to the businesses
  • Support regulatory examinations and internal audits of the modeling process and component models
  • Clearly document the analysis performed and risk findings


  • Advanced degree (Masters or PhD) required in Quantitative Finance, Applied Mathematics, Statistics, Engineering, Financial Engineering or other quantitative-oriented disciplines
  • 8+ years of experience in quantitative financial model development/validation for market risk OR 5-10 years of experience in quantitative financial model development/validation for credit risk origination, account management and collections models, parameters (PD, LGD), provisions, fraud, AML, compliance, loss forecasting and/or treasury models.
  • Ability to change the thinking of, or gain acceptance from, others in sensitive situations, without damage to relationship
  • Deep experience or theoretical understanding of stochastic calculus, statistics and time series, optimization, and financial markets and modeling concepts
  • Ability to undertake independent research on industry best practices
  • Knowledge of risk measurement models, such as Algorithmic, Murex, Bancware, QRM, BalckRock AnSer, and Yieldbook is preferred
  • Skills in R and SAS software
  • Excellent communications skills, both written and oral