Model Risk Governance & Review (Vp)
Current•Model reviews for consumer pricing and optimization models. Responsibilities include evaluate conceptual soundness of model specification, reasonableness of assumptions and reliability of inputs, completeness of testing performed to support the correctness of the implementation, robustness of numerical aspects, suitability and comprehensiveness of performance metrics and risk measures associated with use of model•Model risk measurement include design and implement experiment to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions, compare model outputs with empirical evidence and/or outputs from model benchmarks•Work with Finance and Risk professionals to monitor usage and performance of the models and syndicate the findings of model validation•Led the development of LLM-based applications to assist model review and improve efficiency.