Model Risk Senior Analyst – Validation [Multiple positions available]

M&T Bank•New York, NY

1d•Hybrid

About The Position

This role involves conducting independent reviews and validations of various models used within the organization, with a focus on assessing risk and ensuring compliance with SR 11-07. The analyst will utilize tools like SAS, SQL, Python, R, and Excel to extract and analyze data for model validation purposes. Responsibilities include reviewing models for capital stress testing, risk measurement, pricing, profitability, credit loss forecasting, wealth management, marketing, compliance, and management decision-making. The role requires an independent review of the model's theoretical basis, performance, monitoring, assumptions, and implementation, as well as reviewing remediations for identified findings. The analyst will also compose validation reports and memos, collaborate with team leads or managers on controls and documentation, and interact with lines of business and support areas to manage model risk. Tracking validation progress, maintaining internal control standards, and completing ad-hoc analysis are also key aspects of the role. The position aims to manage model risk and maximize shareholder return through effective stakeholder and vendor interaction. Additionally, the role involves developing standards for model validation tasks and automation codes.

Requirements

Master’s degree (or foreign equivalent) in Mathematics, Statistics, Quantitative Finance, Economics, or a related field of study.
Five (5) years of experience in the job offered or as a Model Validation Manager, Model Risk Management Analyst, Model Developer, or related occupation.
Five (5) years of experience in performing validations of credit models or liquidity models.
Five (5) years of experience working with regulator’s requirement of capital stress testing.
Five (5) years of experience evaluating model’s performance and fit for stress testing usage, using well designed shocks from relevant economic factors, and working with specific independent variables and stress scenarios.
Five (5) years of experience building logistic regression models, linear regression models, and time series models assessing their assumptions and performance.
Five (5) years of experience using SQL, SAS, and Python to pull data, analyze data, assess data quality, estimate model parameters for logistic regression, linear regression and time series models.
Five (5) years of experience using SAS or Python to assess model and business assumptions and ongoing model performance.

Responsibilities

Conduct independent review and validation of selected models used in the organization.
Assess risk and validate specific categories of models across the Bank.
Ensure compliance with SR 11-07.
Use SAS, SQL, Python, R and Excel to extract and analyze data from source systems for use in model validation.
Review and validate models used across the Bank for capital stress testing, risk measurement and prediction, pricing, profitability, credit loss forecasting, wealth management, marketing, compliance, profitability and management decision-making, and other functions as needed.
Independently review model’s theoretical basis, performance, monitoring, assumptions, as well as implementation.
Review remediations for the findings identified.
Compose validation report and memo that describes the validation work conducted, effective challenge to the model, gaps and findings identified during the validation.
Collaborate with the team lead or manager to review and confirm proper controls and adequate documentation are in place.
Effectively interact with specific lines of business and/or support areas including Credit Risk, Finance, Treasury to manage model risk.
Track and document progress of the validation.
Maintain internal control standards, including timely implementation of internal and external audit points together with any issues raised by external regulators as applicable.
Responsible for day-to-day model validation activities.
Plan, organize, and produce results.
Interact with internal and external stakeholders/vendors to manage model risk and maximize shareholder return.
Complete ad-hoc analysis timely upon requests.
Develop standard of model validation tasks and automation codes.