Senior Model Risk Management Analyst

Compensation Grade : 14

BASIC PURPOSE :

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.

ESSENTIAL FUNCTIONS :

Model Validation :

• 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.

Model Risk Governance :

KNOWLEDGE, SKILLS, ABILITIES :

MINIMUM REQUIREMENTS

A graduate degree in finance, economics, applied mathematics / statistics, engineering or other relevant quantitative computational finance or mathematical risk management discipline and two years of relevant experience, or the equivalent combination of education and experience is necessary. A PHD degree is strongly preferred.

Work Location :  This individual must reside within commuting distance from our  Atlanta, GA  office. This position may not be filled in New Jersey, either in-person or remotely.

Work Schedule :   Onsite with an opportunity to work remote partially.