Model Risk Manager

POSITION SUMMARY

Reporting to the ERM Manager, the Model Risk Manager is responsible for maintaining the Model Risk Management (“MRM”) program by carrying out the various activities promulgated by the program. The incumbent manages the Bank’s model validation program using third-party providers as well as by performing internal validations. The position also requires the incumbent to conduct ongoing risk assessments, ensuring line of business partners are communicating key risks affecting the models they operate, as well as maintain a standardized set of model governance documentation, procedures, and model performance monitoring records.

MAJOR JOB RESPONSIBILITIES

• Maintain the MRM program, including the model governance framework, policies, procedures, and standards for activities including model development, validation, implementation, and monitoring.
• Oversee the development and implementation of new models or modifications to existing models used for various purposes, such as credit and capital risk assessment, pricing, and forecasting.
• Assess the potential risks associated with the use of specific models, including model limitations, assumptions, and uncertainties, and implement controls to mitigate these risks.
• Monitor the performance of models over time to identify any issues or changes in model behavior, taking corrective actions as necessary. Perform back-testing as warranted.
• Perform (or oversee the performance of validations by a third-party) validations and presentation of results to the Model Risk Management Committee of the Bank’s models by applying industry accepted methods around conceptual soundness, methodology, and implementation.
• Oversee monitoring of ongoing model performance to assess model accuracy, reliability, and ensure compliance with regulatory requirements and internal standards.
• Maintain comprehensive documentation for all models, including specific model documentation, validation reports, and related policies and procedures.
• Continuously review and enhance the model risk management framework and processes to adapt to changing business needs, regulatory requirements, and industry best practices.
• Report to key stakeholders, including senior management, risk committees, auditors, and regulators, regarding model risk management activities, findings, and recommendations.
• NOTE- The scope of these responsibilities extends to management’s use of third-party models, where appropriate frameworks and risk management is expected, as well as management’s use of critical tools that, while not meeting the definition of a model, requires appropriate consideration within the Bank’s MRM program.
• Assist in the development, implementation, and operation of the Bank’s 2nd line responsibilities relating to data controls, oversight, and governance, in particular as it relates to the assessment and use of data in the Bank’s model.
• Support the enterprise risk management effort as delegated by the ERM Manager. This may include second line risk activities such as the identification, evaluation, understanding, management, and communication of business risks, identifying gaps that may be present, and facilitating the creation and follow through on management action plans. Work with ERM manager as assigned to ensure complete, high-quality information flow to executive management, risk management committees and the Risk Committee and/or the Board of Directors.

 

SUPERVISORY RESPONSIBILITIES

Overseeing third party staff supplementation in the conduct of model validation, and, if the Bank makes determination to transition validations in-house, the potential supervision of staff.

SKILLS AND TRAINING

• Strong knowledge and understanding of regulatory expectations for model risk management, including SR 11-7, “Guidance on Model Risk Management” and other related regulations.
• Strong quantitative analytics skills, especially in statistical forecast and modeling. Data driven mindset, and excellent ability to analyze data.
• Familiarity with the concepts of banking Capital Sufficiency, Liquidity, Asset and Liability Management, Fraud and CECL modeling.
• Familiarity with regulations, standards and industry practices related to quantitative modeling, risk management and stress testing.
• Demonstrated conceptual thinker with the ability to analyze complex problems that include interrelationships and dependencies in order to identify common themes and solutions.
• Ability to assess complex issues, apply analytical techniques and structure potential solutions; form partnership with a broad range of stakeholders to drive resolution.
• Ability to interact and communicate effectively with senior and executive management to develop collaborative relationships across the org