Enterprise Risk Management Department (ERM) oversees Corporate Risk Management programs such as model risk, operational risk, and other key risk management activities. The aim of the Model Risk Management (MRM) program is to partner w the business to enable them to be compliant with the model risk program requirements. This role reports directly to the Head of ERM, but will transition to the MRM Senior Director, when that position is filled.
The Model Risk Analyst will be the primary point of contact for the model owners and model developers. This role requires sufficient knowledge of SR 11-17 and SR 15-19 to ensure model owners are managing their models and applying their output appropriately.
• Manage model validation issues with model owners by tracking progress and documenting/reviewing evidence for resolution, escalate if necessary
Needs quantitative skills to understand model validation findings
•Strong communication skills - Collaborate with model owners to document changes, update model inventory/status, and ensure that development of models are identified.
•Have some basic knowledge of relational databases and SQL. Nice to have some familiarity with SharePoint Web Forms and MS Access form controls.
• Manage agenda and facilitate model risk management subcommittee – including documented meeting minutes and use of MS PowerPoint
• Contribute to periodic reviews and overall fulfillment of EWRM’s Model Risk Management policies, procedures and templates
Skills and Requirements:• The successful candidate will be a great communicator and relationship builder – identification of new models will be successful if the business understands value of MRM governance
• Familiarity and understanding of a wide variety of model development and validation statistical techniques covering primarily credit and market risk
• Able to produce high quality written communication,
• Highly organized in terms of documentation and follow through
• M.S. in a quantitative field
• Prior experience writing model documents (internal tech notes, papers, validation reports or the like is preferred
• Competency in high level programming languages including Matlab, SQL, and VBA preferred; programming is not a must, but fluency in Excel, Matlab, statistical packages is highly preferred.
• Regulatory experience a plus (Familiarity with CCAR / SR11-07 , SR15-9
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