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U.S. Bank · 2 weeks ago

Model Validation Director - Treasury & Markets Risk

New York, NY

Full-time

Onsite

Senior Level, Lead/Staff

$215K/yr - $253K/yr

10+ years exp

U.S. Bank is seeking an experienced Model Validation Director for their Treasury & Markets risk areas within the Bank’s Risk Management and Compliance organization. The role involves leading a team to validate models, assess model risks, and ensure effective governance and risk management across various risk domains.

BankingFinancial ServicesInsuranceMortgageWealth Management

Responsibilities

Leads a highly skilled analytic team to independently review and validate a wide range of models including treasury, liquidity, PPNR, mortgage servicing rights, counterparty credit risk and market risk models

Assesses model risk through pre-implementation validations, periodic validations and monitoring activities that independently challenge conceptual design/methodology, reference data, processes, and performance

Identifies corrective actions that promote model risk management process improvements and ensure timely remediation of the identified issues

Leads the team in identifying and implementing a process to conduct a diverse set of sophisticated analyses of models and for effectively managing tasks/resources to shepherd each project to its completion in a timely fashion. Validation produces reports challenging model assumptions, limitations, processes, and documentation

Develops and leads a team to establish and continuously enhance model validation processes involving execution of thorough testing and critical review of conceptual and performance aspects of the models through creation of alternative benchmark approaches, back testing, stress and sensitivity testing

Responsible for review of independently authored reports detailing results of analyses to ensure results are presented in a manner accessible to various levels of management and quantitative backgrounds

Interface with key stakeholders throughout validation process, regulators and internal audit to discuss justification and reasoning behind validation and review findings

Qualification

Model Risk ManagementQuantitative ModelingStatistical ProgrammingMarket Risk ModelsEconometric ConceptsData AnalysisRegulatory GuidanceProject ManagementLeadership SkillsCommunication SkillsCritical ThinkingTeam Management

Required

Identifies corrective actions that promote model risk management process improvements and ensure timely remediation of the identified issues

Interface with key stakeholders throughout validation process, regulators and internal audit to discuss justification and reasoning behind validation and review findings

Preferred

Master or Doctoral degree and 10+ years of relevant experience

6+ years of experience leading a quantitative modeling team

Advanced degree in quantitative discipline such as: Mathematics, Statistics, Finance, Economics or related field

Strong background in at least one statistical programming language such as SAS, Python or R. Familiarity with VBA, SQL, or Matlab is a plus

Strong critical thinking skills and a detail-oriented nature to challenge models developed internally and by vendor

Strong background and practical experience working with econometric concepts such as time-series models and generalized linear regression approaches

Demonstrated ability to draw insights from large complex datasets

Strong background and practical experience developing and/or validating market risk, counterparty credit risk, and derivatives pricing models

Excellent verbal and written communication skills are necessary (ability to explain complex ideas in simple, non-technical language)

Ability to build strong relations with peers, business line managers, and colleagues across the bank

Highly motivated with ability to learn and understand various business lines and their function within the organization

Strong leadership and organizational skills, ability to manage multiple teams and work on multiple assignments concurrently

Experience with regulatory guidance (OCC 2011-12, Basel, ICAAP, FRTB, AMA, CCAR, FRTB and Market Risk Rule)

Familiarity with vendor platforms such as: QRM, Polypaths, Yield Book, Risk Metrics, and Bloomberg

Demonstrated experience with mortgage finance, such as mortgage servicing rights and the mortgage warehouse

Experience working on teams that participate in bank stress testing exercises

Strong leadership qualities, in-depth knowledge of and experience with treasury, liquidity, PPNR, counterparty credit risk and market risk models

Strong understanding of various statistical, economic, and financial theories; such as econometric methods, statistical approaches, data sampling, numerical analysis, and options pricing techniques

Strong understanding of regulatory rules and risk management procedures with the ability to effectively convey complex concepts (written and verbal) to a broad audience is critical

Demonstrated experience leading advanced quantitative teams with multiple layers and managing talent

Strong project management skills

Strong experience and quantitative skills

Experience presenting analytic concepts and results to senior management is highly desired