American Express Careers

Mgr/Sr Mgr-Model Risk Management - Data Scientist

New York, New York
Operations Risk Management

Apply Get Referred

Job Description

Model Risk Management Group (MRMG) is responsible for the model risk management of all American Express models. This role primarily involves review of credit risk, fraud risk, and line management models for the US market. It also engages in activities for elevating modeling excellence as well as fulfilling regulatory requirements for model risk management (SR 11-7).
 
Specific responsibilities include:
  • Independently validate enterprise-wide models including credit risk, fraud risk, line management, and marketing campaign models
  • Communicate validation results to business partners, senior leaders, and regulators
  • Evaluate new machine learning algorithms as applied to models
  • Conduct analytics to explore opportunities for elevating model excellence
  • Understand and apply regulatory requirements for model risk management

Qualifications

  • Statistical modeling knowledge and experience required.
  • The candidate must have a sufficient understanding of machine learning algorithms (e.g., gradient boosting machine, XGBoost, neural network) as well as classic statistical modeling techniques and assumptions.
  • Experience in large data processing and handling is a plus—familiarity with big data platforms and applications, such as Hadoop, Pig, Hive, Spark, AWS.
  • Must be skillful with SAS and/or Python/R; additionally, Java, Scala, and C++ a plus.
  • Strong communication and writing skills to explain complex model properties and evaluation results to business partners and external audience who may not have extensive quantitative backgrounds.
  • Flexibility and adaptability to work within tight deadlines and changing priorities.
  • Ph.D or master's degree in statistics, mathematics, or related quantitative fields desired.
Depending on factors such as business unit requirements, the nature of the position, cost and applicable laws, American Express may provide visa sponsorship for certain positions.

ReqID: 18010720
Schedule (Full-Time/Part-Time): Full-time
Apply Get Referred