- Model Validation Projects (85%)
- Contribute to model validation strategies and maintain model validation plans for assigned reviews.
Assess whether model frameworks are appropriate for their current or planned use, including the underlying assumptions, mathematical methodology, data, and system implementation.
Assess modeling data from extraction through preparation, cleansing, and treatment to determine its suitability for model development. Conduct and document model testing, including outcome analysis, sensitivity analysis, scenario analysis, stress testing, benchmark analysis, implementation review, and user acceptance testing.
Prepare clear, well-supported validation reports in accordance with the MRMF. Identify model limitations and weaknesses, define the effective range of model use, and assess model risk in line with MRMF principles.
Maintain effective communication with model risk stakeholders by setting clear expectations, gathering and sharing required information, and communicating model risk issues and independent recommendations throughout the validation process.
- Support model governance by ensuring model metadata is accurately captured and tracked in the model risk management system. Contribute to annual model attestations, model risk reporting, and other governance activities as required.
- Model Risk Management Culture Enablement and Stakeholder Relationship (15%)
- Maintain current knowledge of industry trends, regulatory expectations, and leading practices in model risk management, and share relevant insights with model risk stakeholders.
Support stakeholders in understanding and meeting their model risk management responsibilities in accordance with the Bank's MRMF and relevant regulatory guidance.
Provide independent, constructive feedback to model developers and risk management groups during model development to help identify and remediate model risk issues, while maintaining Model Validation independence.
Contribute to knowledge sharing across the Model Risk Management team and with relevant stakeholders.
Develop and maintain productive working relationships with model risk stakeholders across the Bank and provide practical guidance on model risk management matters.
Escalate difficult, material, or complex project issues to the Director, as appropriate.
- Escalate difficult or complex project-related issues, as appropriate.
- Let's Talk About You!
- A Master’s degree or higher in Mathematics, Mathematical Finance, Statistics, Physics, Engineering, Economics, or an equivalent quantitative discipline.
Minimum of 3 years of experience (5 years preferred) in quantitative modeling and/or model validation within the financial industry.
Experience within financial services or another highly regulated environment strongly preferred.
Strong understanding of model risk management and governance.
Strong understanding of risk management principles and practices.
Strong experience with programming languages, which may include Python, R, SAS, C++, C#, Java, and MATLAB.
Excellent analytical and problem-solving capabilities.
Excellent project management, time management, and organizational skills.
Excellent technical documentation and report-writing skills.
Excellent communication skills.
