AVP, Model Validation

• Perform and complete the annual model review planning and risk assessment process.
• Develop the annual model review plan for the approval of the Risk Monitoring Committee (RMC).
• Maintain a current inventory of significant models.
• Plan, execute, and complete individual model validations in a timely manner as specified in the annual plan. For each model, prepare a complete written report, documentation of testing performed and updated risk notebooks.
• Provide support and assist outside consultants during validations as follows:
  o Ensure consultants are familiar with and use the Bank’s validation framework
  o Gather requested information for review by consultants
  o Perform benchmarking where necessary
  o Organize entry and exit meetings
  o Complete the final report, gather and document work papers, and develop and/or update the model risk notebook.
• Develop a complete inventory of products and key assumptions and limitations of both front office and independent modeling approaches.
• Identify and participate in model implementation projects and submit status reports on a bi-monthly basis.
• Report on results of Independent Model Reviews to the RMC.
• Maintain and follow up on open action items.
• Resolve and address all regulatory inquires.
• Perform other duties or projects as may be assigned.

• Bachelor’s degree in Financial Engineering, Quantitative Finance, a related field, or equivalent education required. Master’s degree and/or Certified Financial Analyst (CFA) professional certification preferred.
• Seven to ten years of progressively responsible experience in quantitative financial research, model development, and model validation. Knowledge of structured financial instruments (CDO, MBS, ABS, RMBS) as well as corporate finance and capital adequacy for financial institutions required.
• Demonstrated quantitative financial knowledge in the following financial models: stochastic interest rate, prepayment, spread, default, and cash flow.
• Excellent verbal and written communication skills with strong analytical and problem solving skills. Ability to analyze, apply, interpret, and communicate complex technical results to non-quantitative audiences and develop presentations of all models to ensure management’s understanding of operation, testing, purpose, and outputs of models.
• Demonstrated project management skills to include working within short timelines and under pressure at times. Ability to work both independently and as a team member with all business units.
• Excellent financial modeling and empirical research skills with hands-on experience in model validation/quality assurance systems.