Manager, Model Risk
Company: Protiviti Inc.
Location: Chicago, IL
Posted on: February 15, 2017
Job Description:
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: Review, validate, and develop quantitative models
related to market risk, credit risk, operational risk, liquidity risk,
insurance risk, ERM, stress testing, Basel II, and Solvency 2 compliance.
Develop and validate models in order to identify areas of risk. Evaluate,
develop, and implement credit and market risk measurement tools. Plan,
budget, and manage client engagements. Recognize potential client risk and
communicate identified risks. Research technical and industry trends and
recommend risk management solutions. Deliver specific product solutions to
clients. Requirements: Master’s degree (or foreign equivalent) in
Finance, Statistics, Economics, Mathematics, or related quantitative
fields and one year of experience performing credit risk modeling and
analysis. Also requires: demonstrated expertise modeling Credit Risk
Economic Capital to support Basel II capital adequacy processes; performing model
support for Comprehensive Capital Analysis and Review (CCAR) and Dodd
Frank Act Stress Test (DFAST) compliance; performing programming for
statistical and computational analysis, and data mining and analysis utilizing
SAS, SQL, and VBA; reviewing Allowance for Loans and Leases (ALLL)
modeling results for capital reporting and stress testing purposes; interpreting
vendor credit portfolio modeling methodologies, including multi-factor
models, logistic regression, covariance matrices, and Moody’s KMV
models; designing ETL process, including sourcing from multiple systems,
transforming, creating reference tables, and filling data gaps; developing CRE
asset correlation models leveraging Bloomberg delinquency data; and
modeling mortgage prepayment models. **Expertise may be gained during graduate program Submit resume to Job Code MMR-XN2017, 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