The Model Risk Manager will oversee the all aspects of the Model Risk Management (“MRM”) program including, but not limited to inventory and classification of models, monitoring model performance, model validations and reporting. The role will also provide supervision and direction to the MRM Analyst(s).
PRINCIPLE DUTIES AND REPONSIBILITES
- Engage front line management to identify, inventory and document Bank models including model use and characteristics. Assess risk of each model based on model use and reliance. Document and support assessments. Oversee MRM Analyst(s) involvement in this process.
- Ensure models comply with MRM Program requirements for model development, documentation, change management and other policy requirements.
- Develop and maintain model monitoring programs to ensure on-going testing and evaluation of model performance. Collect and review model change control logs to identify and, as warranted, validate material changes. Engage and supervise MRM Analyst(s) monitoring actions.
- Ensure model validations are completed as scheduled, prescribe to validation requirements and conclusions are properly documented and supported. Models subject to validation include prepayment forecasting, default estimation, underwriting decisioning, customer attrition, stress testing, pricing, delinquency forecasting, loss reserving, mortgage servicing valuation etc. Supervise internal and/or external parties performing validation, as warranted.
- Train and educate model owners regarding program requirements. Provide routine communication to model owners, senior management and/or the MRM Committee. Ensure clear and effective reporting of program activities.
- Ensure MRM Program and relevant program documents (i.e. guidance, templates, etc.) are up to date and aligned with regulatory guidance.
- Role will be required to oversee MRM staff including hiring, promotion, disciplinary action up to termination. A large percent of oversight will occur as part of the Model Inventory and Risk Classification, Monitoring, and Validation responsibilities described above.
- Undergraduate or Graduate degree in Finance, Accounting, and/or Economics. Alternative degrees will be accepted with financial analysis and statistical modeling experience.
- 5 to 8 years’ experience in a financial institution or related financial competency.
- Previous experience in staff oversight required.
- Experience with the following modeling techniques: linear and non-linear regression, maximum likelihood estimation and time series estimation and forecasting.
- Experienced in use of SAS, R, Matlab or similar statistical analysis and modeling tools.
- Solid comprehension of financial theory for credit, market and asset liability management.
- Proficient in communication of technical information both verbally and in writing to both technical and non-technical audiences.
- Ability to interface effectively and professionally with senior level management.
- Ability to multitask and manage concurrent delivery of multiple projects.
- Proven ability to use Microsoft Office suite. (Outlook, Excel, and Word).