BBVA Compass MODEL VALIDATION SPECIALIST II - IV Market Risk in Atlanta, Georgia
MODEL VALIDATION SPECIALIST II - IV Market Risk
Company:Compass Bank dba BBVA Compass
Job type:Employment |Corporate Risk
Published on:13th January 2020
At BBVA, we are leading the transformation of global banking with the aim of bringing the opportunities of this new era within everyone’s reach. We are a global financial institution present in 30 countries with over 75 million customers. We are a bank with over 126,000 employees across the world and every one of those employees is leading and designing his/her professional career with the help of tools provided by the organisation to make that happen.
Corporate responsibility is an intrinsic part of our business model, promoting inclusion and financial education while supporting research and culture. Being part of BBVA means developing your career in one of the most innovative companies in finance.
We started out with the spirit of helping others make the best financial decisions. That spirit remains with us today and encourages us to keep moving forward, prioritising innovation and digital transformation so that we can bring the opportunities of this new era within everyone’s reach.
Our values define our identity; they are what drives us to make our goals a reality and they guide all of our actions and the decisions we make.
- The customer comes first.
- We think big.
- We are one team.
The Model Risk Management unit is responsible for Model Risk Management for BBVA Compass as well as BBVA USA.Central to its purpose is making sure that model risk across the enterprise is appropriately identified, modeled, validated, understood, documented and incorporated into management routines as appropriate. Model Risk Management is also responsible for overseeing the Model Governance program and this program’s compliance with regulatory requirements, including SR 11-7 and OCC 2011-12.
This role will support the execution of the Bank’s model validation process and ensure the ongoing implementation of model validation best practices. The objective of the validation process is to provide reasonable assurance that the qualifying models used in capital stress testing, risk measurement, pricing and profitability, and management decision making are working as intended, and to provide recommendations for ongoing model improvement to enhance model effectiveness.
Responsible for the independent validation of assigned models.
Review the underlying assumptions, theory, empirical evidence, implementation and limitations of the model and evaluate the model’s performance.
Perform validation and analysis of expert judgment or qualitative factors that augment quantitative models; review to confirm proper controls and adequate documentation are in place.
Work closely with model users, developers and risk management colleagues to facilitate the model validation process.
Work with business units to plan model validations and to present the findings of these validations to senior management.
Learn and adapt in an unexplored field and, if necessary, perform model validation of specialized models.
Keep pace with the latest developments in academia, regulatory environment, risk technology (vendor and in-house) and financial services industry in order to provide expert guidance to the businesses.
Support regulatory examinations and internal audits of the modeling process and component models.
Lead meetings with model owners to discuss current portfolio tracking and business observations.
Advanced degree (Masters or PhD) required in Mathematics, Statistics, Business or a science-based discipline with a minimum of three (3) years of experience and knowledge of stochastic processes and stochastic calculus/integration, optimization techniques, regression techniques and Monte Carlo simulation as well as experience developing / validating CCAR, Market Risk Rule, loss forecasting models and other macro level measurement related to Economic Capital, for Interest rate, investment portfolio, counterparty credit risk and/or operational risk exposures.
Working knowledge of derivative financial instruments and the numerical methods used to price them.
Hands-on experience in the design, implementation and testing of financial/pricing models.
Functional with database development, maintenance, and extraction of data for reporting.
Ability to understand and communicate clearly and effectively at all levels.
Programming skills in : SAS, Matlab, C++, SQL, Excel with VBA.
Familiarity with Model validation regulations such as OCC-2011-12 and FRB SR 11-7.
Required: None Required
Preferred: FRM Certification
At BBVA, we believe that having a team made up of people with different ways of viewing the world and of taking on each challenge makes us a better bank. That is why we actively support diversity and inclusion, and we invite you to apply, regardless of your race, gender, age, sexual orientation, country of origin, experience, studies, etc.
We nurture a collaborative and inclusive work environment that enables us to show and develop the best we each have to offer.
Pay Transparency Policy Statement
The contractor will not discharge or in any other manner discriminate against employees or applicants because they have inquired about, discussed, or disclosed their own pay or the pay of another employee or applicant. However, employees who have access to the compensation information of other employees or applicants as a part of their essential job functions cannot disclose the pay of other employees or applicants to individuals who do not otherwise have access to compensation information, unless the disclosure is (a) in response to a formal complaint or charge, (b) in furtherance of an investigation, proceeding, hearing, or action, including an investigation conducted by the employer, or (c) consistent with the contractor’s legal duty to furnish information (41 C.F.R. 60-1.35 (c)).
Individuals with Disabilities
BBVA Compass, BBVA Securities Inc., and BBVA S.A. New York Branch invite all interested and qualified applicants to apply for employment opportunities. If you are a U.S.-based job seeker with a disability who is unable to use our online tools to search and apply for jobs, please contact us by emailing: firstname.lastname@example.org or by calling toll-free (in the U.S.) 1-844-664-9275. Please indicate the specific type of assistance needed*.
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BBVA Compass, BBVA Securities Inc., and BBVA S.A. New York Branch have a firm and unwavering policy to provide equal employment opportunity without regard to age, citizenship, color, disability, ethnic origin, gender, gender identity and expression, marital status, nationality, national origin, race, religion, sexual orientation, genetic predisposition, protected veteran status, or any other status or classification protected by federal, state or local law. This policy includes all job groups, classifications and organizational units. With regard to employment, this policy extends to applicants and covers our recruiting, hiring, promotion, transfer, demotion, discipline, termination, benefits, compensation and training practices as well as social and recreational activities. View the "EEO is the Law" & "View the EEO is the Law Supplement Poster" poster. BBVA Compass, BBVA Securities, Inc., and BBVA NY are equal opportunity and affirmative action employer.