BBVA Compass Sr Risk Officer in atlanta, Georgia
At BBVA, we are working to make banking better for everyone. That is where you come in. We are looking for smart, team oriented people who want to be part of a first-class workforce that gives people the tools they need to meet their financial goals, all while delivering an outstanding client experience. Learn more below.
PURPOSE OF POSITION
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. 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 position will oversee the Atlanta Market Risk Model Validation team.
Responsible for evaluating and managing risks associated with the company's market 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 in order 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
KNOWLEDGE AND EXPERIENCE
Advanced degree (Masters or PhD) required in Quantitative Finance, Applied Mathematics, Statistics, Engineering, or other quantitative-oriented disciplines
8+ years of experience in quantitative financial model development/validation for market risk
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
Programming skills in Matlab, C++, JAVA, R software, VBA and Access
Excellent communications skills, both written and oral
Job ID 2018-114628
Site Name GA-ATLANTA-PEACHTREE 25TH BLDG
Category CORPORATE RISK
Work Location US-GA-Atlanta
FLSA Status EXEMPT
Type FULL TIME
EOE Statement Equal Opportunity Employer - Minority/Female/Disability/Veterans.