As a Vice President position within MRGR you will work in a dynamic setting working closely with Model Developers, Users, Risk and Finance professionals. MRGR team members act as key stakeholders on day-to-day model-related risk management decisions. This is an individual contributor position.
Job Responsibilities
- Engage in model validation activities, including (a) evaluate models’ conceptual soundness, reasonableness of assumptions, reliability of inputs, completeness of testing, outcome analysis and model performance (b) perform independent testing; measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks, and (c) monitor model performance on an ongoing basis.
- Liaise with internal and external groups including Model Developers & Users (Risk, Finance, Operations and Marketing), Fair Lending, Technology, Control teams, Internal Audit and Bank regulators
- Maintain model risk controls, help identify and escalate issues to ensure that their resolutions are sound and timely.
- Keep up with developments in consumer banking in terms of modeling techniques (ML methodologies. LLMs), products, markets, models, risk management practices and industry standards.
- Participate and actively contribute to the life and activities of MRGR CCB and MRGR more broadly
Required qualifications, capabilities, and skills
- PhD or Master Degree in Statistics, Economics (with a focus on Econometrics), Data Science, Computer Science, Operations Research, Physics, Engineering, Applied Math or a quantitative science. In depth knowledge of statistic/econometric methodologies (time series, panel data, etc.) and hands on experience with Machine Learning models are required.
- Minimum of 5 years of prior experience in Model Development or Model Validation in Financial Institutions. Ability to conduct model validation end-to-end as an individual contributor.
- Ask incisive questions, assess issues and risks’ materiality
- Have knowledge of consumer banking; ability to understand the business and the regulation surrounding the business
- Ability to interface with stakeholders on model-related issues, write clear model validation reports; create presentations on model validation topics
- Experience in Python, SAS or another programming language