When I got the question whether I would be interested to work in New York City for three months I couldn’t say no. When I visited New York as a child, I told my parents that I would like be working there some day. Just before Christmas last year I was able to make that happen!
Model Risk Management
I was asked by the Model Risk Management team of Deloitte US to support them with a project at one of the largest US banks. As part of that project, Deloitte supports all model risk management and model validation activities of the bank. This means quantitatively assessing models, but also evaluating the governance and regulatory compliance of the models used.
It was a challenging assignment given the upcoming deadlines for the Comprehensive Capital Analysis and Review (CCAR) in the US. The CCAR is conducted by the Federal Reserve Board (FED) and verifies whether banks have sufficient capital buffers to cope with economic downturns. US banks are required to submit stress testing results according to pre-defined macro-economic scenarios. These scenarios for example include a large increase in unemployment rates. Both the regulator and the banks want to know how the portfolio and thus ultimately the whole bank behaves in times of economic stress. The calculation of the impact of those scenarios on the bank, on for example required capital buffers, requires advanced and robust models. These models need to be quantitatively and qualitatively assessed by an independent party to determine whether the models can adequately capture the actual risks in the portfolio.
Although we don’t have a CCAR in Europe, the models developed by banks have similar structures and are comparable with the models used by European banks. The different model components and the statistical techniques are also used in Europe, for example for determining the capital requirement or stress testing purposes. Therefore my experience in credit risk modelling and credit risk model validation for those purposes was relevant in the US and I could really add value to the project.
Part of my work was to validate one of the models used for the CCAR. As part of the validation, we assessed the robustness of the model, tested whether the model was fit for purpose and evaluated the results of the model when stressed economic scenarios are used. An interesting experience for me, both from a content and personal view. I believe you learn a lot from being exposed to a different environment and working culture.
New York City
Besides work, I enjoyed the city a lot. There is so much to do and three months is definitely not enough to do everything. Simply walking around or running in Central Park and experiencing the life in New York City is already enjoyable. We also had a lot of nice activities with the project team and with Deloitte colleagues from other countries. We went to Broadway shows and organised dinners and drinks. Besides that I did a lot of sightseeing, celebrated Christmas and New Year’s Eve, visited museums, enjoyed a lot of nice meals, brunches and cocktails and made some trips outside New York City as well. We went on a skiing trip to Jackson Hole (close to Yellowstone Park) with a group of people for example, a really cool experience!
Deloitte and working abroad
Deloitte provides the opportunity to work abroad, either for a secondment (longer period in which you work for another member firm), or for a specific project as I did. As our clients become more international, we are serving clients on a more global level as well. If you are motivated to work abroad and if you’ve gained relevant experience at home, there are lots of opportunities.
I would encourage people to also make use of these opportunities, as it enriches both your personal and professional development. This New York experience is definitely something I won’t forget, and I hope I get the opportunity to work abroad again for a while!
I joined the Financial Risk Management team in August 2014, after writing my master thesis at Deloitte. My background is Financial Econometrics. Currently I work as a Senior Consultant, and my focus is on credit risk modelling.