Manager, ALM/QRM Model Risk Management (Remote)

Overview

This is a remote role that may be hired in several markets across the United States.

First Citizens Bank is expanding and strengthening its Model Risk Management function. In doing so we are seeking highly skilled quants to drive high-quality model risk management activities.

The Validation Manager is a leadership role within the Model Risk Management team, and reports to the Senior Director for Treasury, Financial, Balance Sheet and PPNR Model Risk. The ALM Validation Manger will lead activities related to model risk management of the ALM platform - QRM, and models and assumptions used within QRM. This is a key role that includes managing a range of quantitative and qualitative models, overseeing model change and validation schedules, plans, meeting activities, and taking responsibility for the quality of Model Risk Management activities, including the quality of meetings, reports, and model owner interactions. The ALM model validation manager is responsible for providing guidance and intellectual leadership for the quants that report to the manager.

• Validation schedule for model specific to ALM processes and the ALM platform - QRM,
• Validation plans for a wide range quantitative and qualitative models, including:
  • Deposit attrition models
  • Deposit categorization approaches
  • Loan pre-payment models
  • Product pricing assumptions
• Mathematical and statistical code development,
• Database code development,
• Model owner and developer meeting organization and execution,
• Validation report quality,
• Validation findings and closure management, and
• Model inventory management.

• QRM
• Loan and Deposit pricing assumptions
• Deposit attrition models
• Loan pre-payment models and assumptions
• Calculations related to Interest Rate Risk in the Banking Book: EaR and EVE
• Stable vs Non-Stable Deposits assumptions and methods

• Management:
• Oversee the quality of team activities that include, but are not limited to, report writing and meetings with model owners,
• Manage performance, promotion, and hiring,
• Manage detailed model validation activities that include, but are not limited to, validation plans, model replication, data accuracy and completeness checks, conceptual soundness evaluation, and validation schedules.
• Analysis:
• Write Python code to independently replicate the end-to-end model development activities
• Update Python script utilizing the VS Code/PyCharm IDE and Git bash for version control
• Write SQL code to independently replicate data Extract, Transform, Load (ETL) activities pertaining to the model's data set from source data systems.
• Assess model documentation for completeness.
• Assess model conceptual soundness given data, intended purpose, regulatory expectations, and industry practice.
• Intellectual leadership:
• Oversight and guidance of statistical and mathematical code, most often Python, but sometimes R and SAS,
• Oversight of data programming, including SQL and other proprietary database activities,
• Oversight of evaluation of conceptual soundness of modeling and data approaches.
• Reporting:
• Review, edit, and provide quality control of validation reports,
• Review, edit, and provide quality control of memos pertaining to model risk management issue management,
• Report regularly to the Model Risk Senior Director on the status of model risk management activities.
• Relationship Development - Develops and maintains effective partnerships with the model analysts, model owners, and business level risk management teams and auditors (internal and external).
• Business Support - Partner with the lines of business to establish an accurate model inventory as well as support the lines of business in their responsibilities towards the model inventory including attestation, issue management, on-going monitoring, and annual review of models in the inventory.

• Someone who takes intellectual control over their responsibilities,
  • Intellectual control over responsibilities means that you understand and are able to articulate your responsibilities and the outcomes of those responsibilities - both, governance processes and validation activities and validation outcomes.
  • Intellectual Control also includes understanding upstream and downstream processes to which you are linked.
  • Intellectual control means not being circumscribed to our own world, but how our area of responsibility connects to other areas of responsibility.
• Someone who is pro-active rather than being re-active,
  • Being pro-active is to anticipate what comes next or what is needed next, and act on it before you are required to do so.
• Someone who is able to 'Own' and managing meetings with stakeholders.
  • You should have command over:
    • the meeting objectives,
    • how you are going to start the meeting,
    • how you are going to proceed through meeting topics/materials.
  • You should have a beginning-to-end understanding of conversation topics. This does not mean that extemporaneous topics and conversation are bad. But your stakeholders come away with a poor opinion of meetings where you fumble about to progress through the meeting. You should go into the meeting organized ahead of time.
• Someone who keeps their responsibilities 'in front of you'.
  • Keeping your responsibilities in front of you means not letting responsibilities slide and get behind:
    • This requires being forward-looking.
    • This requires being well-organized about your responsibilities vis-à-vis the model inventory and the stage of the life cycle for every model under your purview.
    • This requires anticipating requirements over then next week, month, quarter and being pro-active.
    • This requires being conscientious about 'meeting follow-up' with model owners and your team.
  • Someone who is effective at Communication
    • Understand that it is not the job of the audience to try to figure out what you are attempting to communicate.
    • The ability to organize a complex array of quantitative and qualitative information into a coherent message suitable for the audience is paramount.
  • Someone who is able to have effective interactions with Model Developers and Owners.
    • Our responsibility is to be constructive and helpful.
    • Our responsibility is to help model owners to facilitate Model Risk Management processes in our Model Inventory/Risk Management platform.