The Assistant Vice President, Model Validation is responsible for assisting the Bank’s Model Risk Management Department with its framework and standards, model inventory, model risk assessment, model validation and model governance.
- Conduct model validations on the Bank’s models, both in-house and vendor models, based on regulatory guidelines, the Bank’s model risk management policy and procedure, and the industry’s leading practices.
- Evaluate model assumptions and weaknesses, data relevancy and completeness, conceptual soundness, modeling methodology, outcome analysis, etc.
- Prepare a model validation report that meets the Model Risk Management Department’s expectations, based on the evaluation of the model, including backtesting, sensitivity testing, benchmarking, etc. and include a conclusion based on the review.
- Assist in model validation findings monitoring, reporting, and evaluating the corrective actions.
- Conduct model annual reviews including process verification, performance monitoring, degree of changes, etc. and document the findings and comments in the annual review report.
- Support senior managers to communicate findings and recommendations from model validation report to model owners and model users.
- Assist Model Risk Management Department in preparing data for the Risk Dashboard metrics.
- Work closely with model owners and model users to understand the model use and business applications.
- Present findings to management or the Model Governance Committee, as appropriate
- Perform other duties as assigned.
- Must have a minimum of 1- 3 years of experience in model validation or model development in the banking industry or consulting.
- Bachelor’s in Economics, Finance, Mathematics or other related quantitative fields.
- Familiarity with model documentation requirements that meets regulatory expectations.
- Strong written and verbal communication skills.
- Familiarity with DFAST stress testing models is preferred.
- Proficiency in statistical programming skills such as in R, SAS etc.
- Familiarity with loan-level loss forecast models, QRM deposit and pricing models, or Pre-Provision Net Revenue models is preferred.
- Strong organizational, written and verbal communication skills.
- Ability to work independently and collaboratively.
- Ability to interface effectively and professionally with senior level management.
- Ability to multi-task several projects at once.
- Excellent attention to detail and accuracy
- Excellent organizational and time management skills.
- Proven ability to use Microsoft Office Suite (Outlook, Excel, MS Word, and PowerPoint).
- Master's Degree in Economics, Finance, Mathematics or other related quantitative fields