SUMMARY: The Model Risk Manager analyzes risks associated with the use of models 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 business lines have the appropriate documentation and processes in place to effectively manage model risk. S/he 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 the areas of credit and BSA/AML. However, it is likely that 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 Manager is expected to be an active contributor to several ad hoc cross-functional projects within the wider Enterprise Risk Management (ERM) department.
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 model validations to manage and mitigate the risks that arise from the use of models and deliver complete model validation reports
- Provide independent and effective challenge of all model components throughout its lifecycle.
- Prepare rigorous workpapers documenting the validation review and analysis.
- Discuss findings and their risk severity with model owners and assist with remediation recommendations.
- Track findings assigned and validate them to ensure they are properly addressed in a timely manner.
- Maintain the Enterprise's model inventory and model documentation library and validation review schedule.
- Monitor internal/external audit and regulatory issues to ensure timely remediation.
- Prepare presentations for Risk Committees and Management.
- Facilitate risk profiling process for assigned business units.
- Establish and maintain relationships within assigned business units and throughout the enterprise.
Training and Awareness:
- Stay abreast of risk management industry trends by leading and/or attending seminars, training sessions, and workshops, as necessary to develop and ensure success of the Bank's enterprise risk program.
- Serve in a consultative capacity (subject matter expert) to business units on model risk and quantitative/technical matters.
- Train and ensure all assigned business units are aware of the model risk framework and its application and relevance to their business unit.
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.
EDUCATION and/or EXPERIENCE:
- Undergraduate degree in a quantitative discipline (e.g. Statistics, Engineering, Mathematics, etc) PLUS 10 years of relevant experience OR
- Graduate degree in a quantitative discipline (e.g. Statistics, Engineering, Mathematics, etc) PLUS 6 years of relevant experience.
- Direct experience with Moody's CMM and/or RiskCalc models, as either an advanced user or in a model validation role.
- Intimate knowledge of regulatory guidance (OCC 2011-12/SR 11-7).
- Proficiency in R and / or Python, Bloomberg, Intex and (ideally) Tableau.
- 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.
- Ability to work with and manipulate large data sets.
- 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.
- Some experience working under the Agile framework would be preferred.
- CFA / FRM designations highly desirable.
COMMUNICATION/LANGUAGESKILLS: Strong communication and language skills required, including the ability to:
- Speak, read and write in English language.
- Read, analyze, and interpret common technical journals, financial reports, and legal documents.
- Write reports and correspondence routinely.
- Effectively present information to top management, public groups, and/or boards of directors.
MATHEMATICAL SKILLS: A mastery of statistical, model validation and quantitative concepts is required for this role.
REASONING AND ANALYSIS ABILITY: Ability to apply common sense understanding to carry out instructions furnished in written, oral, or diagram form; and deals with problems involving several concrete variables in standardized situations.
CERTIFICATES, LICENSES, REGISTRATIONS: As applicable to position (e.g. CPA, CFA, CIA, CISA, CRM, MBA, etc.).