Model risk could occur in the development (such as limitations in input and methodology), the implementation (such as system errors), and the use (such as misapplication) of the model. As a member of the Model Risk Management (MRM) team, the Model Risk Manager is a key position in achieving the Bank’s objective of properly managing the risk and maintaining high quality of models used across the enterprise in critical decision making.
The Model Risk Manager is expected to perform validation tests to identify the potential model risk through the entire model lifecycle, discuss findings with internal and external stakeholders, collaborate with model owners and developers to address the findings, and document validation activities and results. In addition to these core duties, the Model Risk Manager also has opportunities to work on ad hoc projects within Enterprise Risk Management (ERM). This position is supported by other MRM team members, including Model Risk Analysts, Model Risk Directors and the Model Risk Officer VP.
1. Identify and manage model risk across the model lifecycle including model development, implementation, and utilization. This includes:
• Prepare written analysis of validation work.
• Perform validation and provide effective challenge to model components throughout the model lifecycle, including modelling data and input, model methodology and performance, model implementation and ongoing monitoring, model assumptions and limitation, and model governance and documentation.
• Manage interaction with model owners and developers during the model lifecycle.
• Present model validation results, including findings and model ratings, to model owners, users, senior management and, when requested, regulators and internal audit.
• Review and monitor the remedial actions taken by model owners and developers to ensure the findings are properly and timely addressed.
2) Provide guidance to model risk analysts in the course of the validation process.
3) Contribute to strategic, cross-functional initiatives within ERM.
4) Support the execution of various reporting projects in compliance to model risk management policy and procedures.
5) Support model governance activities such as model inventory and model documentation library and validation calendar.
Skills, Knowledge and Abilities:
• Advanced degree in a quantitative discipline (Statistics, Mathematics, Computer Science, Engineering etc.) with 3+ years of relevant experience is required.
• Understanding of supervisory guidance on Model Risk Management is required.
• Strong programming skills in one or more of the following: R, Python and SQL are required.
• Excellent verbal and written communication skills is required to communicate effectively, professionally with tact with all levels of personnel whether in person, on the phone or via email.
• Ability to work independently as well as collaborate with colleagues is required.
• Knowledge of bank’s service and products is preferred.
• Vision must be sufficient to read reports and computer screens.
• Hearing must be sufficient to understand a conversation at a normal volume, including telephone/video calls and in person.
• Speech must be coherent to clearly convey or exchange information, including the giving and receiving of assignments and/or directions.
• Position involves sitting most of the time, but may involve walking or standing for brief periods of time.
• Must be able to travel in a limited capacity.