Model Risk Valid Analyst Senior at City National Bank

• Lead in reviews of bank-wide risk and capital models, including models for CCAR stress testing of capital resources, operational risk, liquidity stress models, credit risk and ALM models and qualitative methodologies.
• 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 use of model.
• Perform independent validation and testing in accordance with Model Risk Management Policy and Model Validation Standards.
• Assess and measure the potential impact of model limitations, parameter estimation error 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 management action plans, and track remediation progress.
• Evaluate and 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.
• Work with model risk governance analyst to report and register model validation results and documentation.
• Provide on demand support during the regulatory exams on model risk management and periodic reviews performed by the Internal Audit.
• In addition, will support the creation and maintenance of the enterprise-wide model inventory, model validation standards, and model risk rating.

Must-Have*

• Master's Degree
• Minimum 5 years of quantitative modeling experience
• Minimum 3 years of experience managing quantitative modeling teams
• Minimum 3 years of experience with analytical tools, such as Python, MATLAB, SQL, etc

Skills and Knowledge

• Experience in Model validation, development or similar experience within an independent model validation function and/or risk management.
• 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 of financial and bank focused products.
• Experience in data management and analysis preferred
• Programming experience with software applications such as R, SQL, VBA, Python
• Extensive knowledge and experience with various models – Market Risk, Operational Risk, Credit Risk, PPNR forecasting models, etc and analysis tools including Excel, EViews, or Stata applications preferred
• Advanced degree in finance, economics, statistics or related field (Masters preferred). Industry certifications a plus (e.g., CFA, FRM)
• 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 familiar 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.
• Advanced Excel skills with ability to apply and review 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.
• Self-motivation, discipline, task focus, the ability to structure and present work and a proven record of delivering high quality results within strict deadlines.
• Strong interpersonal, verbal and technical writing skills