Purpose:The Senior Model Risk Analyst will play a key role in assessing the Bank's model risk through model validations, risk reviews, and ongoing analysis. As a member of Enterprise Risk Management (ERM), the Analyst will work under the Senior Manager, Model Risk or Director of Model Risk Management and Validation to validate financial models throughout the Bank in order to assess model reasonableness, weaknesses, and risks. The Analyst will interact with model owners and model users across the Bank to understand current model performance, development activities, and emerging risks.
The following statements are intended to describe the general nature and level of work being performed by persons assigned to the job. They are not intended to be an exhaustive list of all responsibilities or abilities required of persons so classified. The Bank reserves the right to alter or amend this description at any time.
Specific Responsibilities:- Participate in model validations for various types of financial models, including credit risk, interest rate derivative valuation, mortgage prepayment/default, and asset-liability management models. This will include performing quantitative analyses and tests, assessing model theory, backtesting, benchmarking, stress testing, scenario analysis, and assessing the effectiveness and sufficiency of model controls and documentation.
- Generate validation reports or memos detailing the validation approach, analyses conducted, and the conclusion of the validation. Present findings and recommendations to model owners/users.
- Review model changes, assess model change significance, and conduct limited-scope validations for model changes as necessary.
- Participate in the development of benchmarking models and data analytical tools, including machine learning models for validation and model performance monitoring purposes.
- Provide independent opinions on various modeling and model validation issues.
- Assist in third-party model validation.
- Participate in audit and regulatory exams and assist in the remediation of audit and regulatory exam findings.
- Perform annual and ad-hoc model reviews and quarterly model performance reviews.
- Assist in other model risk management activities, such as maintaining the Bank's model inventory, tracking outstanding model validation findings, and generating periodic model risk related reports to relevant committees and stakeholders.
- Conduct research and analysis to maintain knowledge of modeling best practices, model validation techniques, and current financial market information.
Competencies:BusinessGeneral- Dependability
- Productivity
People- Accountability and Drive for Results
- Collaboration and Communication
Position Requirements:- Advanced degree with a concentration in Computational/Quantitative Finance, Statistics, Mathematics, Computer Science, Economics, or some other quantitative discipline. Ph.D. desirable.
- At least one year of experience working in a related field, such as model risk management, predictive modeling, financial modeling, optimization, and data science, is required.
- Understanding of financial market concepts and fixed-income instruments, including mortgages and MBS, interest rate derivatives, fixed-income analytics and risk metrics, prepayment forecasts, interest rate modeling, probability of default and credit loss modeling, and stress testing.
- Understanding of stochastic processes, time series analysis, principal component analysis, optimization, logistic regression, and Monte Carlo simulation.
- Proficiency with at least one of the programming languages, such as Python, R, Julia, or MATLAB, is required. Python is the preferred programming language.
- Hands-on experience with machine learning/artificial intelligence models is highly desirable.
- Hands-on experience with valuation tools/libraries, such as PolyPaths, QRM, Calypso, Yieldbook, FINCAD, and Numerix, is desirable.
- Must have a high level of proficiency with Microsoft Office applications (Excel, Word, PowerPoint, Outlook). Experience with Power BI is highly desirable.
- Strong written and oral communication skills required. Ability to write clear technical reports and memos. Must be able to communicate and maintain relationships with model owners/users and other stakeholders, and interact effectively with management.
- Must be able to think critically and independently, highly self-motivated, and able to multitask and manage competing priorities.
- Understanding of current regulatory guidance on model risk management, including FHFA's AB 2013-07 and AB 2022-03, OCC Bulletin 2011-12, or FRB SR 11-17, desirable.
- Ability to model and uphold the Bank's Guiding Principles.
- Ability to work full-time.
Hiring Range: $93,000 - $110,000
Hiring ranges reflect the base salary that the Bank reasonably expects to pay for a given role and is not inclusive of annual incentive award opportunities, retirement benefits or the value of other health and welfare or other ancillary benefits. We consider many factors when determining base salaries such as individual background and experience, the competitive environment, education, particular skill set(s), and industry and institutional knowledge.
