Senior Model Risk Management Analyst

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Supports both the enterprise-wide model validation and model risk management governance function. Makes contribution to, or leads, the annual validation and review of select models in the enterprise-wide model inventory. Participates in the continued improvement of the governance function by facilitating the development of enterprise-wide model risk reports, effectively working with the Bank’s lines of business on enterprise model risk management initiatives, and providing assistance to the model risk governance program.

• Participates in the validation of complex, advanced quantitative financial models by providing assistance to the development of validation scope and agenda, scheduling project meetings with model owners and users, reviewing the sufficiency of model documentation and performance metrics, and compiling final model validation reports. Collaborates with other quantitative analysts in the team on potentially all aspects of the validation.
• Leads independent validation or review of select models, and effectively assesses the validity of issues identified as well as methodological approaches for the proper resolution of these issues. Independent validations typically involve an assessment the conceptual soundness of model design and development, key assumptions about data transformation and imputation, the underlying statistical or econometric estimation technique, and the rigor in back-testing and ongoing model performance monitoring. Depending on the candidate’s knowledge base and experience, the models may include: i) credit rating algorithms for commercial banks, credit unions, and insurance companies; ii) valuation and collateral discount models for residential mortgages, commercial real estate (CRE) loans; iii) asset liability management models for pricing instruments on the Bank’s balance sheet, Value at Risk, and income forecast.
• Presents and effectively supports findings to model developers, users and management. Develops and prioritizes constructive recommendations for model changes or enhancements. Communicates potential data quality and completeness issues to model owners.
• Maintains a detailed and comprehensive record of each validation project through work papers and other project artifacts.
• Ability to work independently with high-level directions and also effectively within the team for certain large-scale validation and review projects requiring collaboration.

• Assists the Director of Enterprise Model Risk Governance in: i) revising and implementing model risk policies, procedures, and reports; ii) identifying and reporting on current and emerging model risks and performance metrics within the Bank to senior management and the board of directors; iii) maintaining the inventory of quantitative financial models and their classifications, as approved by the Enterprise Risk Committee, and following established processes to update the inventory; and iv) working with model owners to develop a schedule of validations for each quantitative financial model in accordance with existing policy and procedures.
• Monitors and reports regularly to the Director of Enterprise Model Risk Governance on the compliance of the model risk management program, including policies and procedures, with respect to its progress, working issues, and challenges.
• Monitors the progress of, and follow-up on, the business unit’s implementation of its responses to recommendations made by the party conducting the validation. Monitors and reports quarterly model performance metrics reported by model owners.
• During validations performed by external consulting firms, provides engagement management and procedural oversight as specified in existing model validation procedures.
• Participates in the identification, analysis, and reporting of various types of model risk using sophisticated quantitative analytical skills and an advanced knowledge of finance. Serves as business-focused, value-added partner to the Bank’s units with respect to model risk management issues. Reviews the model documentation and operating procedures and provides comments to the business unit with respect to the documentation’s compliance with existing model validation procedures.
• Possesses a strong understanding of fixed-income securities, quantitative financial models, derivatives, investments, and portfolio management in order to support risk assessment and regular risk reporting initiatives. Participates in the development of quantitative financial tools and techniques to improve key risk management processes used by business line management to monitor risk within their areas.
• Develops and maintains effective partnerships with other model risk management analysts, model validation vendors, model owners, business level risk management teams and auditors, internal and external.
• Conducts other projects and tasks related to model risk governance as assigned by the Director of Enterprise Model Risk Governance.

• The ideal candidate must have a strong mathematical and financial background as well as an ability to manage a quantitative model validation project through all its phases
• Excellent oral and written communication skills and ability to work in a team or independently.
• Knowledge or previous experience in the following areas are preferred: * Financial modeling and empirical research skills, with hands-on experience in model validation, audit, or other quality assurance functions; * Experience in model risk management, or in a regulatory policy setting and compliance environment (e.g., as an examiner of commercial banks and credit unions); and * Familiarity with at least one programming language (e.g., SAS, Microsoft Excel VBA), any fixed-income valuation system (e.g., QRM, Principia, or MIAC), credit score modeling (e.g., logistic regression, machine learning or other AI algorithms).