Position  Description

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.

Job Duties

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.

Model Validation

• 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.

Job Requirements

• 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.