The Risk Model Validation (RMV) Manager leads the Bank’s Model Risk Management validation process and is responsible for managing and mitigating potential adverse impacts arising from the use of mathematical, statistical, or financial models. The Bank utilizes quantitative models and tools to support business processes and ensures informed decision making in areas such as financial planning and forecasting, loan loss reserve modeling, interest rate risk management, investments, capital planning, and stress testing.
The RMV Manager is responsible for independently conducting quantitative analytics for modeling projects. The role performs model validation on internal in-house models, as well as engages and supports 3rd party model validations. The incumbent possesses excellent quantitative and analytical skills with a broad knowledge of financial and commercial banking products.
The RMV Manager aids in the development and implementation of model risk management practices on the Bank’s culture and stakeholder expectations of Risk Management. This individual oversees performance of this compliance and risk management function by creating model development standards and procedures, developing standards for model validations, and administering compliance with the Bank’s Model Risk Management policy and procedures including working with the bank’s governance committees for validation oversight and model risk.
Responsible for Independent Model validation and performance monitoring such as assessing conceptual soundness, evaluating model assumptions and data integrity/quality, testing model numerical and/or computational accuracy, performing outcomes analysis, and reviewing model governance and control process.
Develops sound practices for model validation and documentation including model assumptions, data integrity, model limitations, model testing, soundness, and performance monitoring.
Implements Model Risk policies and procedures across all stakeholders and oversees model remediation activities.
Supports relationships with regulators and internal audit and participates in development of relevant policies and procedures.
Keeps multiple projects on track simultaneously, facilitates consensus among multiple teams (Risk, Ops, and IT) and stakeholders to ensure work can progress in a timely manner and delivers projected business results.
Manages a team of 1-5 employees and consulting resources.
Strong influence working at all levels within the Bank.
Advanced Degree (PhD preferred) in Statistics, Economics, Finance, or related quantitative field (PhD preferred)
A minimum of 5 years of experience within the financial services industry
A proven track record of strong technical model development, validation, and model oversight
Knowledgeable of model risk management and associated regulatory requirements such as OCC 2011-12, SR 11-07 and Basel
Working knowledge in at least one of the commonly used statistical packages (e.g., SAS, R, Matlab, Stata)
Experience in project management
Attention to detail with the ability to prioritize
Excellent verbal and written communication skills
Industry certifications a plus (e.g., CFA, FRM)
Proficiency in using Excel, Word, and PowerPoint
Working knowledge of: Accounting rules related to charge-offs, recoveries, and non-accrual accounting; allowance for Credit Loss accounting rules and regulations;
statistical model development methodologies; statistical model implementation
Familiarity with stress testing concepts and related regulatory guidance (such as the Fed Letter SR11-7)