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Sr. Quantitative Risk Analyst

4 months ago


Cincinnati, United States Federal Home Loan Bank Full time

Sr. Quantitative Risk Analyst - Model Risk

General Summary:

Independently leads and assists activities related to managing and mitigating model risks, by independently performing validations, monitoring governance, and providing guidance and expertise related to models used by the Bank. The Senior Analyst collaborates with various stakeholders to ensure the accuracy, reliability, and regulatory compliance of models used for pricing, risk measurement, and decision-making processes.

Principal Duties and Responsibilities: Independently perform validation and governance efforts related to Bank models. Leads comprehensive assessments of model accuracy, reliability, and robustness. Leads model validation activities, including reviewing model assumptions, methodologies, and implementation. Identify limitations, weaknesses, or gaps in models and propose enhancements or alternative approaches. Contribute to the development and enhancement of the bank's model risk management framework, policies, and procedures. Support the implementation and management of model risk management processes, including model inventory, model change management, and ongoing model monitoring. Coordinate with key stakeholders to ensure compliance with regulatory model risk requirements (FHFA AB 2013-07; FHFA AB 2022-03). Identify and assess the risks associated with financial models, including model errors, biases, and limitations. Prepare comprehensive model validation reports, documenting the validation process, findings, and recommendations. Collaborate with key stakeholders to provide guidance and expertise in support of a sound model risk management environment at the Bank. Provide guidance and mentorship to junior members of the model risk management team. Advises/consult with Bank staff on best practices for use and evaluation of risks in deploying models. Stay knowledgeable of emerging trends, industry best practices, and technological advancements in model risk management. Identify opportunities for process optimization, automation, and efficiency gains within the model risk management function and ERM department. Performs additional duties as requested by management. Minimum Knowledge, Skills and Abilities Required: Knowledge at a level normally acquired through the completion of a Master's Degree in finance, economics, mathematics, statistics, or financial engineering or equivalent work experience with financial, statistical, market risk, or credit risk models. A Ph.D. in a relevant discipline is preferred. At least five years' experience in model validation and/or model development at a financial institution, rating agency, regulatory agency, or as a financial industry consultant. Strong understanding of financial models and their application in areas such as pricing, risk measurement, and decision-making. Knowledge of various model types, including credit risk, market risk, and liquidity risk models. Knowledge of regulatory guidelines and industry standards for model risk management, such as AB 2013-07, SR 11-7, and OCC Bulletin 2011-12, is highly desirable. Proficiency in programming languages such as Python, R, or MATLAB, with experience in data manipulation, statistical analysis, and model development. Advanced/Intermediate Microsoft Office skills (particularly Excel and Word). Strong analytical and problem-solving skills, with the ability to critically evaluate complex models and identify potential risks. Excellent written and verbal communication skills, with the ability to convey technical concepts and validation results to both technical and non-technical audiences. Detail-oriented with strong organizational skills, able to manage multiple projects simultaneously and meet deadlines. Ability to work collaboratively within a team environment and build effective working relationships with stakeholders at various levels. Demonstrates a commitment to diversity and inclusion. Promotes an environment of empathy and respect, ensures the inclusion of all team members, and will actively engage in D&I events and learning opportunities. Working Conditions:

Flexibility to work outside normal business hours if required to complete time sensitive projects. Requires close attention to detail to ensure the accuracy and integrity of information supplied to senior management and members.

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