The incumbent will contribute to implementing the newly established model risk management framework including carrying out model risk governance activities and performing independent model validation. He/she will execute various tasks around model risk governance, conduct and add business values in model validation process.
Include but are not limited to:
Model Risk Governance:
- Maintain and improve model risk management policy, procedure, and standards
- Implement activities defined in model risk management framework and ensure the continued alignment of the Bank’s model risk management framework with regulatory expectations.
- Maintain model inventory and conduct annual model review/attestation processes.
- Facilitate bank-wide model risk related activities e.g. risk assessment in new product launching and model risk management trainings to internal stakeholders.
- Collaborate with all internal stakeholders and perform as the 2nd line of defense for model risk.
- Conduct independent validation for models defined in the model inventory and produce model validation reports.
- Coordinate the remediation of model validation findings and provide guidance for the finding owners.
- Communicate with model developers/owners/users and senior management regarding validation findings and remediation activities.
- At least 4 years of work experience with model risk management required.
- Master’s degree required – Financial Engineering, Mathematics, Statistics or Computer Science major preferred.
- Strong critical thinking/problem-solving skills and ability to exercise sound and balanced judgment required.
- Understanding of SR11-7, supervisory guidance on model risk management, and other relevant banking regulations from regulators including OCC and FRB required.
- Specialty in credit risk models and compliance models preferred.
- FRM or CFA preferred.