Quantitative Model Risk Manager

5 days ago

Irvine, California, United States Pacific Premier Full time
Job Description

The Model Risk Manager is responsible for overseeing and directing the enterprise model risk management program at Pacific Premier. This role provides leadership and guidance in identifying, assessing, measuring, and monitoring model risk across the Bank, ensuring appropriate risk controls and responses.

The Model Risk Manager manages the Bank's model validation program, generally using third-party providers. This includes providing second-line defense challenge and model validation, while working with model owners on the design, development, deployment, maintenance, and ongoing use of models.

Scope of these responsibilities extends to management's use of critical end-user computing tools that, while not meeting the definition of a model, require appropriate consideration and oversight within the Bank's MRM program.

The Model Risk Manager conducts model risk assessments to provide risk evaluations at the individual model and aggregation across the Bank. This role provides oversight to ensure consistency with regulatory model risk management guidance and the Bank's policies and procedures.

Work closely with business line and senior management in carrying out the assigned duties. Demonstrates independent judgment in the execution of the Model Risk Manager responsibilities with a minimal amount of supervision and direction.

Perform a wide range of services, some of which are complex and confidential in nature.

Responsibilities
  1. Maintain the MRM program, including the model governance framework, policies, procedures, and standards for activities including model development, validation, implementation, and monitoring.
  2. Oversee the development and implementation of new models or modifications to existing models used for various purposes, such as credit and capital risk assessment, pricing, and forecasting.
  3. Assess the potential risks associated with the use of specific models, including model limitations, assumptions, and uncertainties, and implement controls to mitigate these risks.
  4. Monitor the performance of models over time to identify any issues or changes in model behavior, engaging model owner in taking corrective actions as necessary.
  5. Ensure comprehensive documentation is developed and maintained for all models, including specific model documentation, validation reports, and related policies and procedures.
  6. Identify and maintain the Bank's Model Inventory and complete Risk Assessment for each model.
  7. Identify and maintain the Bank's EUC Tool Inventory.
  8. Understand and analyze the Bank's quantitative models and the risks around their usage.
  9. Enforce consistent model documentation standards.
  10. Develop data validation standards and assess the data quality that feeds into models.
  11. Track management responses and corrective action plans related to findings noted in validation reports to ensure appropriate and timely closure.
  12. Conduct ongoing model and end-user computing tool monitoring to ensure continued acceptable performance and determine appropriate responses when performance is unacceptable.
  13. Address model-related risks (including data quality considerations) in executing on the Bank's 2nd line responsibilities relating to new initiatives, vendor, data controls, oversight, and governance.
  14. Continuously review and enhance the model risk management framework and processes to adapt to changing business needs, regulatory requirements, and industry best practices.
  15. Report to key stakeholders, including senior management, risk committees, auditors, and regulators, regarding model risk management activities, findings, and recommendations.
  16. Manage the validations of internal and 3rd party models by applying the Bank's framework, regulatory guidance and industry accepted methods around conceptual soundness, methodology, and implementation.
  17. Oversee monitoring of ongoing model performance to assess model accuracy, reliability, and ensure compliance with regulatory requirements and internal standards.

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