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AVP, Model Risk Management

New York, NY

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.