Quantitative Modeling Analyst II

BOK Financial • Tulsa, OK

1d • Onsite

About The Position

The Quantitative Modeling Analyst II is primarily responsible for identifying, measuring, monitoring, and managing the risk of complex and strategically important models such as those used in AML, Asset/Liability Management, CECL, Market Risk Rule, pricing, profitability, regulatory capital, underwriting, fraud, fair lending, etc. This involves understanding the theoretical framework of the model including assumptions and limitations, the context of business decision making, how well the model employs advanced analytical methods, variable selection, development, and the interactions/dependencies among data, systems, processes, and models both internal and external to the organization. Additionally, the Quantitative Model Risk Analyst I must understand risk and risk management principles covering all eight types of risk associated with the use of models: Strategic Risk, Operational Risk, Reputation Risk, Compliance Risk, Credit Risk, Liquidity Risk, Interest Rate Risk, and Price Risk.

Requirements

• Advanced degree (Master+) in Mathematics, Statistics, Econometrics, Finance, STEM, or other quantitative discipline; CFA, FRM, CPA, CIA, CISA, or other relevant professional designations considered.
• Minimum 3–5 years of in-depth quantitative analysis experience in a discipline relevant to financial risk management to include statistical/econometric analysis, predictive modeling, prepayment, option pricing, sensitivity analysis, stress testing, etc.
• Proficiency with common statistical and programming software (R, SAS, Python, SQL, VBA, or similar)
• Solid understanding and knowledge of model performance measures
• Solid understanding of model development and validation methodologies & processes
• Strong project management skills
• Ability to produce high quality technical documentation.
• Knowledge of regulatory requirements related to model risk management (FRB/OCC SR 11-7), Basel II/III capital requirements, Dodd-Frank Act Stress Testing (DFAST), and OCC 12 CFR, Part 30, Appendix D (Heightened Standards), etc.

Responsibilities

• Perform independent model validation activities to ensure models are working as intended and model reliability is understood.
• Build strong working relationships with model owners and users to gain a comprehensive understanding of the business purpose and assumptions used in the development of the models.
• Measure the potential impact of model limitations, parameter estimation errors and deviations from model assumption, and will compare model outputs with empirical evidence from model benchmarks.
• Assist with the development of remediation plan recommendations when assigned model outputs fall short of defined objectives.
• Formulate clear and concise communications regarding model analyses specifying outcome discrepancies, risk identification, regulatory, and policy issues.
• Present observations to senior leaders, developers, and users in order to make recommendations for action plans, and tracks remediation progress.
• Work with external regulators and internal auditors as the subject matter expert on assigned models to demonstrate the operational soundness of the model risk management program.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level