Primary function is to perform intermediate to advanced validation methodologies, tasks, and quantitative analysis throughout the model lifecycle across for models used by lines of business in accordance with regulatory guidelines (ex: FED SR11-07)
ESSENTIAL DUTIES & RESPONSIBILITIES:
- Updates model inventory of all models utilized by company across multiple lines of business including credit, interest rate, risk ratings, economic capital, capital marketvaluation, credit risk parameters, pricing & profitability, loan loss reserves, and measurement of otherrisk types including operational and market risk.
- Coordinates and conducts model validation processes and monitors adherence to internal policies, procedures and regulatory guidelines.
- Collaborates and interacts with management, model owners/users throughout the company and with third-party model validation providers.
- Understands how models are used in the business decision making process and material impacts to financial statements and risk measurement.
- Understands model development and validation methodologies, policies, procedures & processes.
- Recommends model documentation revisions as needed to model risk program documentation.
- Coordinates team of model validators and performs the following tasks: - review model documentation & governance - analyze and challenge data used in model development to ensure relevance & appropriateness for model use - understand model development and validation methodologies - develop and execute model test plans - write/modify validation scripts - analyze model weaknesses - benchmark models to external vendor models - assess model risks and limitations to make model validation recommendations
- Assesses model risks, model limitations, validation issues, etc. to make model validation recommendations
- Document and report model validation results, issues, problems to manager of Model Validation Group
- Interacts with model owners/users to address model issues and remediation actions.
- Review model validations performed by junior analysts and provides coaching/mentoring
- All other duties/special projects as assigned.
- Incumbent is required to comply with all applicable federal, state, and local banking and industry related laws and regulations including but not limited to the Bank Secrecy Act.
- Attends Model Governance Committee meetings
- Supports Model Validation Group manager in reporting and responding to Federal Reserve, FDIC, and other pertinenet regulatory bodies pertaining to enterprise risk management audits and related activities.
- Assists unit manager in reviewing contracts and making recommendations related to engagement of model validation vendors for professional services
- Conducts periodic model risk assessments and takes appropriate action(s) as required.
- Acts as a consultant to affiliates on matters pertaining to model risk management
- Performs other related job duties and special projects as assigned.
- Incumbent is required to comply with all applicable federal, state and local banking and industry related laws and regulations
Minimum Required Education, Experience, Licenses And Certifications
MINIMUM REQUIRED EDUCATION, EXPERIENCE, & KNOWLEDGE:
- Master’s Degree is required in finance, economics, statistics or otherquantitative fields; Ph. D. preferred
- At least 4-6 years of experience is required; 8-10 years preferred
- Specific experience is required with model development/analytical experience with commercial or financial institutions
- Project management skills;
- Knowledge of financialrisk models,
- Capital ratio models,
- Stress-testing models
- Designation not required but preferred: - Professional Risk Managers International Association (PRM); - Certified Risk & Compliance Management Professional (CRCMP); - Associate in Risk Management (ARM or ARM-E)
ESSENTIAL PHYSICAL & MENTAL REQUIREMENTS:
- Ability to work under stress and meet deadlines
- Ability to operate a keyboard if required to perform the essential job functions
- Ability to read and interpret a document if required to perform the essential job functions
- Ability to travel if required to perform the essential job functions Ability to lift/move/carry approximately 25 pounds if required to perform the essential job functions. If the employee is unable to lift/move/carry this weight and can be accommodated without causing the department/division an “undue hardship” then the employee must be accommodated; hence omitting lifting/moving/carrying as a physical requirement.