Banamex - Quantitative Risk & Modeling (VP)

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Job Overview

The Model/Anlys/Valid Sr Mgr accomplishes results through the management of professional team(s) and department(s). Integrates subject matter and industry expertise within a defined area. Contributes to standards around which others will operate. Requires in-depth understanding of how areas collectively integrate within the sub-function as well as coordinate and contribute to the objectives of the entire function. Requires basic commercial awareness. Developed communication and diplomacy skills are required in order to guide, influence and convince others, in particular colleagues in other areas and occasional external customers. Has responsibility for volume, quality, timeliness and delivery of end results of an area. May have responsibility for planning, budgeting and policy formulation within area of expertise. Involved in short-term planning resource planning.Full management responsibility of a team, which may include management of people, budget and planning, to include duties such as performance evaluation, compensation, hiring, disciplinary and terminations and may include budget approval.

Responsibilities:

• Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.
• Manages model risk across the model life-cycle including model validation, ongoing performance evaluation and annual model reviews.
• Produces analytics and reporting used to manage risk for Citi's operations.
• Translates operational requests from the business into programming and data criteria and conduct systems and operational research in order to model expected results.
• Assists in the development of analytic engines for business product lines.
• Communicates results to diverse audiences.
• Conducts analysis and packages it into detailed technical documentation report for validation purposes sufficient to meet regulatory guidelines and exceed industry standards.
• Participates on teams to solve business problems.
• Identifies modeling opportunities that yield measurable business results.
• Provides guidance to junior validators as and when necessary.
• Manages stakeholder interaction with model developers and business owners during the model life-cycle.
• Represents the bank in interactions with regulatory agencies, as required.
• Presents model validation findings to senior management and supervisory authorities.
• Provides effective challenge to model assumptions, mathematical formulation, and implementation.
• Assesses and quantifies model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
• Contributes to strategic, cross-functional initiatives within the model risk organization.
• Full management responsibility of a team, which may include management of people, budget and planning, to include duties such as performance evaluation, compensation, hiring, disciplinary and terminations and may include budget approval.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency, as well as effectively supervise the activity of others and create accountability with those who fail to maintain these standards.

Qualifications:

• 6-10 years experience
• Consistently demonstrates clear and concise written and verbal communication skills
• Self-motivated and detail oriented
• Demonstrated project management and organizational skills and capability to handle multiple projects at one time .
• Practical experience using SAS or similar statistical coding software to build and test prediction models. comfortable interfacing with business clients. proficiency handling very large data sets.
• Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation.
• Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.

Education:

• Bachelor’s/University degree or equivalent experience, potentially Masters degree

We are seeking a highly skilled financial expert to join our team as a Risk Manager at Afore Banamex. The ideal candidate will have in-depth knowledge of financial products, risk management, and regulatory requirements for Mexican pension funds. In addition, the candidate should be an expert in risk management metrics such as VaR, CVaR, liquidity, CVA/DVA, as well as financial mathematics, stochastic control, probability, statistics, and Machine Learning models. The candidate should have experience working with Python/R and have excellent communication skills to converse with senior management. The ideal candidate should also have skills for model risk management and governance. CFA/FRM qualifications are desirable.

Responsibilities:

• Develop, implement, and maintain risk management policies and procedures.
• Analyze and evaluate financial products, including bonds, forwards, futures, and options.
• Ensure compliance with regulatory requirements for Mexican pension funds.
• Develop and maintain risk management metrics such as VaR, CVaR, liquidity risk (financial and liabilities obligations), CVA/DVA.
• Develop and implement risk mitigation strategies.
• Develop and maintain stochastic control models and other financial models.
• Develop AI/ML models for client segmentation and strategic planning.
• Be an expert in financial models such as Black-Scholes, Black-Litterman, Mean Variance Optimization, Monte Carlo Simulation, and numerical analysis.
• Conduct scenario analyses and stress testing on portfolio holdings to assess potential risk and returns.
• Prepare reports and presentations on risk management and investment strategies under supervision.
• Collaborate with other departments, such as trading, operations, and compliance, to ensure that the risk management framework is integrated into all aspects of the business.
• Have basic knowledge in P&L explained.

Please attach your updated CV

Bachelor´s degree

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Job Family Group:

Risk Management

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Job Family:

Model Development and Analytics

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Time Type:

Full time

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Most Relevant Skills

Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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