The ERM Quantitative Research Analyst is responsible for the ongoing assessment of enterprise-wide model risks associated with the development, deployment, and maintenance of quantitative models used for important business purposes such as decision-making, risk management, and regulatory or financialreporting. The analyst will assist the Director, Quantitative Research and Risk Management with independently overseeing the model risk exposure and the quality of risk practices across the organization with a key focus on oversight and execution of model validations. This person may also assist the ERM group in other riskreporting, analytics, governance activities, and ad hoc analysis, while maintaining independence for model-related activities.
- Perform all responsibilities in accordance with BECU Competencies and Information Protection requirements.
- Perform independent validations of all models, and significant model changes, within the scope of the Credit Union's Model Risk Management Policy, and manage the resolution of findings with model owners and users.
- Develop, maintain, and provide training to appropriate personnel on the Credit Union's Model Risk Management Policy and related standards and associated roles and responsibilities.
- Maintain the enterprise-wide model inventory and manage the ongoing inventory certification process.
- Establish and maintain standards for model documentation.
- Support the ERM function in periodic, ad hoc research or analysis to assess potential or identified risks and/or to confirm reporting provided to ERM. This analysis may be outside of ongoing model validation requirements.
- Work in conjunction with model developers, model owners, and business unit riskmanagers to establish model risk ratings, and to develop robust business-unit model approval and model change management processes.
- Consult with model users on the design of effective model operational controls.
- Ensure ERM-related regulatory requests and reporting is fulfilled in a timely manner; ensure that BECU regulatory exams are efficient and productive.
- Have a thorough knowledge of all state and federal regulations pertaining to Credit Union functions.
- Perform other duties as assigned.
- Master’s degree in an analytical discipline required. PhD preferred.
- Minimum 5 years in a quantitative role with analytical abilities required.
- Experience as a strong contributor to project teams.
- Working knowledge of key regulatory standards related to model risk including FRB SR 11-7 and OCC 2011-12.
- Experience with the design, implementation & testing of models used for financial instrument valuation, performance forecasting, portfolio management, or risk measurement.
- Requires knowledge of qualitative factors that augment quantitative models, for controls and documentation.
- Experience developing / validating models used for DFAST (or similar), credit loss forecasting, interest rate risk management, prepayment, consumer deposit retention, portfolio management, and consumer behavior prediction preferred.
- Strongly prefer experience with SAS; experience with R, Excel VBA, and Python also beneficial.
- Full time hours required, with additional hours as necessary.
- Proficient verbal and written skills to effectively communicate in the English language.