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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


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