Model Risk Analyst

SUMMARY: The Model Risk Analyst analyzes risks associated with the use of models and quantitative tools throughout the Bank in compliance with regulatory guidance (OCC 2011-12/SR 11-7) and internal Policy. This individual performs model validations and leads efforts to ensure that the appropriate documentation and processes are in place to effectively manage model risk. The Analyst will routinely interact with model owners and users across the bank's various lines of business to implement the model risk management framework. Currently, the Bank uses advanced models in areas such as credit, BSA/AML, and fraud. However, additional models may be deployed in the future in line with the growth of the organization. In addition to these core duties, the Model Risk Analyst is expected to interact and collaborate actively within other departments across the bank where appropriate.

ESSENTIAL DUTIES AND RESPONSIBILITIES include the following. Other duties and special projects may be assigned.

• Maintain Model Risk Management Framework, Identify Risks and Advise on Mitigation Strategies:




• Conduct independent validations of quantitative models and/or tools, in accordance with the bank's MRM Framework and regulatory guidelines set forth by the publications OCC 2011-12 and SR 2011-7, leveraging statistical, financial, economic, and business expertise.
• Write high quality validation reports, ensuring findings and recommendations are precisely communicated to the management so that risks that arise from the use of models/tools can be properly managed and mitigated as a result.
• Conduct model annual reviews to assess material changes, ongoing monitoring, governance and control of models.
• Provide independent and effective challenge of all model components throughout its lifecycle.
• Prepare rigorous workpapers documenting the validation, review and analysis.
• Lead meetings with model owners to discuss findings/observations including corresponding risk severities and remediation recommendations.
• Track findings assigned and validate them to ensure they are properly addressed in a timely manner.
• Conduct model identification/classification of newly developed model/quantitative tool candidates.
• Contribute to the development and execution of model risk management policies and procedures.
• Foster collegial relationships with model owners and users, while maintaining necessary independence from model development work.




• Training and Awareness:




• Stay abreast of risk management industry trends by leading and/or attending seminars, training sessions, and workshops, as necessary to deepen quantitative skills and business knowledge to develop and expand capabilities to independently validate expanded variety of models implemented by the bank.
• Serve in a consultative capacity (subject matter expert) to business units on model risk and quantitative / technical matters.




• Other Duties and Responsibilities:




• Actively contribute to several cross-functional projects within ERM. These projects are part of a wider journey to deploy an effective three line of defense model across the organization. These projects vary in nature and complexity.




• Adheres to and complies with applicable, federal and state laws, regulations and guidance, including those related to anti-money laundering (i.e. Bank Secrecy Act, US PATRIOT Act, etc.).
• Adheres to Bank policies and procedures and completes required training.
• Identifies and reports suspicious activity.

EDUCATION

Undergraduate degree in a quantitative discipline (eg Statistics, Engineering, Mathematics, etc) required Or Graduate degree in a quantitative discipline (eg Statistics, Engineering, Mathematics, etc) required.

EXPERIENCE

• 3 years' experience developing/validating a wide variety of statistical / mathematical / financial models and/or quantitative tools required.
• 2 years' experience in rigorous technical writing documenting analytical processes, testing procedures, and mathematical/statistical methodology required.
• Proficiency in R and / or Python, Bloomberg, Intex and (ideally) Tableau required.
• CFA / FRM designations highly desirable.

CERTIFICATES, LICENSES, REGISTRATIONS

• As applicable to position (e.g. CPA, CFA, CIA, CISA, CRM, MBA, etc.) preferred.

KNOWLEDGE, SKILLS AND ABILITIES

• Intimate knowledge of regulatory guidance (OCC 2011-12/SR 11-7).
• General understanding of credit risk, operational risk, market risk, and liquidity risk concepts.
• Good understanding of three lines of defense model and model risk management related industry practice.
• Superior written and oral communication skills, with the ability to communicate effectively at all levels of the organization, with particular emphasis on being able to articulate complex topics in a manner digestible to a wide audience.
• Excellent mathematical and analytical skills, including but not limited to ability to work with and manipulate large data sets.
• Thorough attention to details and documentation.
• Demonstrated self-starter who is able to work independently with minimal supervision as well as in highly collaborative team.
• Ability to manage multiple projects at once and meet deadlines.