The Senior Quantitative Modeler is part of the Bank's Risk Management and Compliance organization. Specifically, this position supports the Model Risk Management (“MRM”) program at the bank. The overall MRM program is designed to provide governance and control to manage financial models and associated risks that may impact the company, including financial, liquidity, market, operational, reputational, strategic, and other risks as appropriate.
Specifically, the incumbent is expected to have expertise with hands-on experience in either model development or validation of credit risk models. The incumbent will lead a team to provide independent validation and effective challenge of the credit risk models used in the bank's CCAR stress testing and CECL process. Responsibilities include training other staff, leading all phases of model validation in compliance with OCC 2011-12 and U.S. Bank's Model Risk Management Policy and Guidelines, assessing model risks and limitations, completing validation reports, and providing recommendations and conclusions to model owners and developers.
The position interacts directly with senior management and regulatory agencies (OCC and FRB), requiring expert level of presentation, relationship building, and communication skills. Incumbent is respected across the organization for expertise and is a subject matter expert in CCAR/CECL areas.
- Bachelor's degree in a quantitative field, and 10 or more years of experience in statistical modeling OR
- Master's or PhD degree in a quantitative field, and eight or more years of experience in statistical modeling
• Excellent knowledge in statistics, mathematics, and financial modeling.
• Experience in CCAR/CECL model development or validation.
• Critical thinking, problem solving, and creativity.
• Strong written and verbal communication skills (ability to explain complex ideas in simple, non-technical language).
• Ability to establish and maintain effective working relationships with peers, business line managers, and colleagues across the bank.
• Highly motivated with the ability to learn and to understand various business lines and their functions within the organization.
• Strong organizational skills and the ability to work on multiple tasks effectively.
• Knowledge of regulatory guidance in Capital Adequacy and Financial Accounting Standards with respect to the current expected credit losses (CECL) requirement.
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