Senior Model Risk Analyst, ALM/QRM (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 Senior Risk Analyst is a senior contributor role within the Model Risk Management team. A Senior Risk Analyst will partner with a portfolio of business lines to lead the execution of bank-wide model risk management activities. This is a key role that includes both, establishing business relationships with the lines of business, and also providing important quantitative evaluation, review, and challenge of the business models. The Senior Risk Analyst has a broad portfolio of responsibilities, including model governance, model validation activities, and model performance monitoring, in conformance with industry best practices and regulatory guidance.

• reading model documentation,
• organizing the model's key structural themes,
• replicating model development steps,
• conducting highly detailed independent data analysis from data source systems,
• evaluating the model's conceptual soundness within the context of data, intended purpose, modeling alternatives, and industry practice,
• and maintenance of model risk reporting and maintenance of the model inventory.

• CCAR balance sheet and income statement - loans, lines, deposits, NIR, and NIE
• Interest rate modeling
• Treasury ALM - QRM platform, EVE, EaR
• Economic Value Equicty - Economic Risk
• Line of business pricing and product-specific models and platforms

• Responsibilities for this role include but are not limited to:
  
  • 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.
  • Reporting:
  • Independently write model validation reports.
  • Independently write model validation memos pertaining to model risk management issue management.
  • Report regularly to the Model Risk Manager on the status of model risk management activities.
  • Relationship Development - Develops and maintains effective partnerships with the model analysts, model owners, 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.

• Recent experience with hands-on econometric and data coding exercise.
• Hands-on proficiency with Python, R, and SQL.
• Experience in first line and second line model development and validation activities.
• Master's (MS/MSc) or Doctoral (PhD) Degree with a quantitative focus - such as mathematics, physics, statistics, engineering, or operations research.
• Strong quantitative skills specific to econometric modeling - such as time series analysis, panel regression, piece-wise linear regression, multinomial logistical regression, numerical analysis, and optimization theory.
• Strong coding skills, and the ability to independently write Python and SQL queries to independently construct a broad range of model and data exercises.
• Keen familiarity with key aspects of model risk management
• Strong writing skills, and the ability to independently write validation reports and other model risk management communications.
• Strong meeting management skills - the ability to construct a meeting agenda, prepare meeting artifacts such as organizing slides, and the ability to effectively lead a meeting with senior line of business stakeholders, with an emphasis on clear communication, strong presence, and intellectual command over the meeting's objectives, order, and desired outcomes.