Posting Date: 03/22/2013
Job Title: Director, Model Validation
Interest Category: Risk Management
Business Unit: Global Mortgage Insurance
Position Type: Full Time - Regular
Country: United States
State: North Carolina
Description: Genworth Financial, Inc. (NYSE: GNW) is a leading insurance holding company dedicated to helping people secure their financial lives, families and futures. Headquartered in Richmond, Virginia, Genworth has employees operating through three divisions around the world.
Genworth's Global Mortgage Insurance division, headquartered in Raleigh, North Carolina, is the only truly global mortgage insurer. With origins dating back to 1980, Genworth’s Global MI provides primary mortgage guaranty insurance coverage on residential mortgage loans, as well as mortgage pool insurance policies that enhance insurance coverage for various types of mortgage-related securities, in over two dozen countries worldwide.
• Assist in development of model validation policy and practices with Global MI businesses and the Genworth Model Governance Board. Execute the policy across all the Global MI platforms to ensure that the model performance is in line with the intended design objectives and business needs.
• Develop a detailed schedule for model validation by working with MI businesses to ensure all critical models including financial projections, capital, pricing, and reserving models are validated across all MI platforms
• Provide independent assessment of the critical models by reviewing model assumptions, data sources, mathematical formulas and business applications. Prepare a written report documenting findings and recommendations.
• Provide an independent view on model reliability, stability, and robustness, including back testing and benchmarking with internal and external data
• Communicate the validation results to modeling teams, senior leadership, and appropriate governance committees
• Follow up on review recommendations to ensure they are implemented appropriately in a reasonable time frame
• Research state-of-the art modeling solutions available internally and externally and share the best practices across different MI platforms
• Collaborate with various stakeholders including members in Risk, Actuarial, Finance, Audit, and IT teams
• Master's Degree in a quantitative discipline such as Statistics, Actuarial Sciences, Mathematics, Physics, Quantitative Finance, or Economics with proven modeling & analytical skills
• Thorough understanding of and demonstrated experience with statistical methodologies like Generalized Linear Models, Transition Modeling Framework, Actuarial Projections, and time-series forecasting
• 5-8 years of relevant work experience in mortgage/consumer lending modeling
• Advanced proficiency in programming with SAS and Excel
• Worked with large, complex data sets including time-series data
• Willingness and ability to travel internationally on short notice and conduct business meetings at early/late hours to accommodate time zone requirements and deadlines
• Able to work independently with minimal supervision on technical aspects requiring statistical & programming skills
• Strong communication, presentation, and collaboration skills at all levels of the organization
• Results oriented, accountable for performance, and take complete ownership of projects
• Demonstrate superior analytical skills coupled with the desire and ability to execute on deliverables for real-world business applications
• Ph.D. with emphasis in Econometrics/Statistics/Mathematics/Physics or a quantitative field
• Experience with Programming languages like C++, and MATLAB
• Risk Certification from PRMIA, GARP, or other comparable certifications
• Prior model validation experience, especially in mortgage lending
• International experience working across multiple time zones and cultures
If a Genworth employee told you about this position, please make sure he or she refers you to the position through our employee referral system before you apply.