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Model Validation Risk Analyst Iii

Company

Trustmark National Bank
Address , Jackson, 39201
Employment type FULL_TIME
Salary
Expires 2023-12-14
Posted at 8 months ago
Job Description
Overview:
The primary purpose of this position is to assist the Model Risk Manager with model governance and validation of models used throughout the organization. This person must be able to fully analyze and critique models, understand their application, identify and evaluate assumptions, conduct necessary testing, and report on their findings. This position serves as an associate in the Model Risk Management (MRM) Office which reports to the CRO through the Enterprise Risk Management (ERM) Department. In addition to the MRM requirements, this position would assist with SOX, ERM, and other risk management regulatory monitoring activities as needed.
Responsibilities:
  • Perform additional duties as assigned.
  • Evaluating the model’s behavior over a range of input values
  • Based on the results of model validations, prepare model validation reports to be presented to the Enterprise and Operational Risk Committee (EORC) and ERM Board Committee
  • Work with model owners throughout the organization to provide oversight and guidance in all areas of MRM, including assistance in the resolution of validation findings
  • Assessing the model’s effectiveness through various tests (e.g., model replication, benchmarking, back testing, sensitivity analysis, stress testing, etc.)
  • Assessing the model’s output for relevance and reasonableness
  • Assessment of input data quality and assumptions
  • Assist in the development, implementation, communication, and management of model governance, policies, and procedures
  • Assessing potential limitations
  • Assist the Manager of MRM with other risk management projects and regulatory monitoring activities as needed
  • Evaluation of framework, conceptual soundness, methodology, and developmental evidence
  • Perform and document independent model testing and validation including:
    • Evaluation of framework, conceptual soundness, methodology, and developmental evidence
    • Assessment of input data quality and assumptions
    • Testing of processing components including the mathematical calculations built into the design of the model
    • Assessing the model’s effectiveness through various tests (e.g., model replication, benchmarking, back testing, sensitivity analysis, stress testing, etc.)
    • Assessing the model’s output for relevance and reasonableness
    • Demonstrating that the model is robust and stable
    • Assessing potential limitations
    • Evaluating the model’s behavior over a range of input values
    • Evaluating the model and determining appropriate findings with recommendation to remediate finding
  • Assist management in the Model Risk Assessment process to determine the nature and extent of the Model Validation procedures to be performed for each model
  • Ensure the model inventory is complete and accurate
  • Evaluating the model and determining appropriate findings with recommendation to remediate finding
  • Testing of processing components including the mathematical calculations built into the design of the model
  • Demonstrating that the model is robust and stable
  • Ensure the documentation of all models is current and in line with documentation standards
Qualifications:
  • Proficient with Microsoft Office applications with an emphasis on MS Excel
  • Two (2) years of relevant work experience in model validation, model development, and/or quantitative analysis
  • Strong written and verbal communication skills
  • Four-year degree in a quantitative field such as Statistics, Economics, Finance, MIS, Engineering, or a related discipline
  • Strong knowledge of financial principles and regulatory compliance issues related to the banking industry
  • Comfortable working with large amounts of data
  • In-depth knowledge of system implementation process
  • Experience in stress testing, interest rate risk, and/or credit risk models preferred
  • Two (2) years of experience with statistical software packages such as SAS, Python, or R
  • Basic understanding of internal control theories and principles
  • Excellent analytical skills and ability to apply critical thinking skills relative to model validation
  • Advanced knowledge of financial modeling techniques and theories
  • Familiarity with the regulatory guidance related to Model Risk Management, including OCC 2011 - 12 - Supervisory Guidance on Model Risk Management, Federal Reserve SR 11 - 7 - Guidance on Model Risk Management, and 2021 OCC Comptroller Handbook on Model Risk Management
  • Attention to detail and process orientation
  • Master’s degree in a quantitative field preferred
  • Ability to work well under pressure and balance multiple priorities
  • In-depth knowledge of Artificial Intelligence/Machine Learning techniques