What are the responsibilities and job description for the MODEL RISK QUANTITATIVE ANALYST position at Northwest?
The Model Risk Quantitative Analyst is responsible for producing clear and in-depth model validation and review reports independently on all models within the company, identifying and quantifying model risk components and uncertainties under various banking regulations (SR 11-7, Basel, etc.). This individual will perform research and analysis to effectively challenge model methodologies (pros and cons, alternatives).
- Assess all modeling assumptions of the methodology and perform relevant statistical and hypothesis testing
- Assess and measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions
- Assess expert judgment or qualitative factors that augment quantitative models; review to confirm proper controls and adequate documentation are in place.
- Assess model specifications with empirical evidence and assess model performance, accuracy, reliability, stability, data relevance, completeness and timeliness
- Evaluate model monitoring performance reports on an on-going basis and provide recommendations
- Perform analytical review independently on testings executed by other departments and consultants
- Communicate with model owners on validation results and findings, with recommendation and remediation strategy to address the findings
- Assist model owners/developer in the compilation of comprehensive model documentation, and ongoing maintenance of the documentation
- Analyze complex models, qualitative and quantitative tools used in the business decision making process to assess its risks and potential impacts
- Develop analytical library using different programming language to build metrics and thresholds for validation activities and ongoing model monitoring
- Assess and research on different model development methodologies and validation techniques to ensure model validity, risks, and alternatives are well communicated and documented
- Detail documentation of testing, observations, potential issues, recommendations for improvements, management action plans, and remediation progress
- Support the maintenance of the enterprise-wide model inventory, model control standards, model risk ranking, and data governance framework
- Ensure compliance with Northwest’s policies and procedures, and Federal/State regulations
- Navigate Microsoft Office Software, computer applications, and software specific to the department in order to maximize technology tools and gain efficiency
- Work as part of a team
- Work with on-site equipment
- Keep abreast of the latest industry research and standards, be able to translate concepts into models and testings through coding in different programming languages
- Learn and adapt in an unexplored field in order to perform model validation of specialized models
- Work closely with the business owners, internal audit, IT, and regulatory agencies
Education
Master's Degree or Ph. D. in Statistics, Operations Research, Mathematics, Economics, Engineering or other quantitative disciplines preferred
Work Experience
1-2 years Financial services risk management modeling, validation, or quantitative analysis, 1-2 years experience in the area of risk management, consumer/commercial credit risk, operational risk, market risk, or asset liability management, 1-2 years experience working in model validations
Additional Knowledge, Skills and Abilities
- Knowledge of complex statistical modeling methodologies and advanced analytics
- Knowledge of regulatory requirements such as SR 11-7 and OCC 2011-12
- Ability to program in SAS or R. Experience with SQL, Python, VBA, Matlab
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