Model Risk Officer

1. Conducts/reviews independent model validation studies to manage and mitigate the risks that arise from the use of models utilized by the Bank. Analysis include, but is not limited to, assessments of each model's conceptual soundness, statistical analysis of empirical model performance, the development of challenger models for benchmarking comparisons, and composition of validation reports.

1. Effectively identifies areas/steps/procedures posing significant model risks to the Bank, proposes plans to address those risks, and presents recommendations for continued model use or rejection to Management Risk Committee (MRC). Reviews includes financial models used to drive business decisions including, but not limited to: financial planning, fraud detection, credit risk management, anti-money laundering, asset and liability management, and Dodd-Frank Act Stress Testing as applicable.

1. Conducts quality control on validation reports and reviews, coordinates third-party consultant validation projects, and designs of specific governance procedures or workflows.

1. Performs reviews of existing model documentation, and interviews model developers and model owners to understand the business context for model use and to facilitate the adoption of model risk management standards.

1. Designs specific validation plans in order to provide an effective challenge to models, including assessments of overall design, underlying theoretical approaches, data quality and controls, model specification and estimation, development testing, implementation, use, and approvals.

1. Analyzes empirical model performance using statistical techniques such as back-testing, scenario analysis, stress-testing, stability and sensitivity testing, and benchmarking against self-developed challenger models; and reviews computer code and inputs data to assess quality.

1. Prepares reports documenting the findings of validation review and analysis; and presents results and recommendations for changes, continued use or rejection of models to model developers, model owners, executive sponsors, and MRC.

1. Assists model developers, model users, and model owners in the completion of model documentation and the design of models to track the on-going performance of models under their responsibility.

1. Maintains the Bank's model inventory, model organizational Chart, Model Governance Policy and Procedures.

1. Identifies emerging model risk issues impacting the Bank, changes in industry best practice related to model development and validation, and communicates to model developers, model owners and MRC.

1. Facilitates improved understanding of model risk by conducting periodic training, presentations or provide other types of best practice materials as necessary and/or required.

1. Maintains an advanced knowledge of financial industry status and trends.

1. Performs other tasks as assigned by the Risk Manager.

SUPERVISORY RESPONSIBILITIES: This position does not have any supervisory responsibilities.

• Three to five years in banking or financial services industry as a data scientist, statistician, quantitative risk analyst, model developer, model validator, or similar position.

• Advanced knowledge of regulatory requirements related to model risk management, Basel II/III capital requirements, and Dodd-Frank Act Stress Testing.

• Advanced understanding of statistical modeling, econometric forecasting, machine learning, data extraction and processing techniques; and demonstrated ability to apply such methods.

• Demonstrated experience with analytics software (SAS, R, SPSS, Matlab, Excel VBA, SQL), relational databases and/or other similar technologies.

• Expert ability to translate complex statistical or economic theories and analysis into practical implications for business teams and Senior Management.

• Proven ability to proactively learn newly emerging statistical, econometric, and mathematical modeling techniques, and understand the implications of their use in a banking organization.

• Ability to read, analyze and interpret general business periodicals, professional journals, and technical procedures.

• Excellent organizational and time management skills with the ability to manage multiple concurrent projects.

• Advanced skills in computer terminal and personal computer operation; host computer system; word processing and spreadsheet software programs.

• Mastered math skills; ability to calculate interest, commissions, proportions, and percentages; balance accounts; add, subtract, multiply and divide in all units of measure, using whole numbers, common fractions and decimals; locate routine mathematical errors; compute rate, ratio and percent, including the drafting and interpretation of bar graphs.

• Exceptional verbal, written and interpersonal communication skills, with the ability to apply common sense to carry out instructions and instruct others, train personnel, write reports, correspondence and procedures, and speak clearly to customers and employees.

• Ability to deal with complex problems involving multiple facets and variables in non-standardized situations.

• Ability to work with no supervision while performing duties.