Model Risk Validation Lead Analyst (West Coast Bank)

Los Angeles, CA

Posted: 04/26/2019 Employment Type: Direct Hire Job Category: Risk Job Number: 120

Job Description & Synthesis
The Model Risk Validation Analyst is responsible for independent model validations, including: reviewing model documentation for completeness, assessing the suitability of models for their intended purposes, performing stress testing and other sensitivity analysis, reviewing data inputs and outputs, and making recommendations for improvements. Assist in several model governance activities in business areas including regulatory capital stress testing (CCAR/DFAST and Advanced Approaches).

Specific Responsibilities

  • Independent validation and testing of capital, impairment, pricing models and scorecards and regulatory models across asset classes (retail, wholesale, derivative, asset management).
  • Assist in reviews of bank-wide quantitative models including models used for CCAR/DFAST stress testing of capital, retail and wholesale credit loss projections (PD, LGD, EAD), ALLL loan reserving, liquidity and interest rate risk models, ALM, AML (Anti-Money Laundering and Fraud Detection), credit underwriting models and various vendor models.
  • Evaluate conceptual soundness of model specifications; reasonableness of assumptions and reliability of inputs; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with model use.
  • Assess and measure the potential impact of model limitations, parameter estimation, error and/or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks.
  • Document and present observations to manager of the Model Risk Management Unit and to model owners and users, recommend remediation action plans, track remediation progress and evaluate remediation evidence.
  • Monitor model performance reports on an on-going basis to ensure models remain valid, as well as contribute in the bank-wide model risk and control assessment.

Key Requirements

  • Minimum 3 years of quantitative analysis experience in a discipline relevant to risk management to include statistical/mathematical and financial modeling.
  • Minimum 3 years of experience with model validation or development
  • Minimum 3 years of experience with analytical tools, such as R, MATLAB, Python, Excel/VBA.
  • Bachelor's degree (masters preferred) in risk, finance, mathematics, engineering or statistics or related discipline with 3-5 years of banking experience or financial services experience.
  • Experience in model validation, development or similar experience within quantitative analytics function. Hands-on experience of risk and financial modelling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of valuation modelling, financial and bank focused products.
  • Extensive experience in data management and advanced statistical analysis is preferred.
  • Programming experience in SQL, VBA , R, Python, is preferred
  • Advanced degree in finance, economics, statistics or related field (Masters preferred). Industry certifications (e.g., CFA, FRM) is a plus.
  • Proven track record of strong technical model development, model management, and/or model oversight in one or more of the following areas: credit risk management, market / interest rate risk management, economic capital estimation, and valuation.
  • Proven knowledge of banking systems and processes, risk management methodologies, and familiarity with model validation function.
  • Knowledgeable about model risk management and associated regulatory requirements such as OCC 2011-12, Basel II, SR 15-18/19.
  • Strong project management capabilities.
  • Deep modeling and technical skills. SQL, Python, R and advanced Excel skills with ability to develop formulas and functions, along with extensive knowledge with the suite of MS Office applications.
  • Demonstrated ability to think critically and facilitate change through collaborative effort.
  • Strong interpersonal, verbal, and written communication skills.
  • Self-motivation, discipline, task focus, the ability to structure and present work and a proven record of delivering high quality results within strict deadlines.

Spencer Knibbe
Managing Partner

Spencer is the Founder and Managing Partner of MBK Search, LLC - an executive search firm that specializes in the governance, risk, compliance, and cybersecurity market space. Prior to founding MBK, Spencer was Head of Operational Risk at Bridgewater Associates. Before moving to Bridgewater, Spencer was the Head of Risk for ICAP, Plc covering the Americas Region. He started his career in venture capital as an investment associate.

Spencer graduated from Harvard University in 2001 and resides in Ridgefield, CT with his wife and two sons.

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