Senior Model Risk Management Analyst

First Citizens Bank • Raleigh, NC

3h • Remote

About The Position

This is a remote role that may be hired in several markets across the United States. Be part of the Model Risk Management (MRM) team, with a primary focus on conducting validations for the bank's CCAR stress testing and capital planning models. The team encompasses a diverse range of models, including Credit Risk models (PD, LGD, EAD, and loss forecasting), PPNR and ALM models (loan balance, deposit balance, net interest income, non-interest income, and non-interest expense), Moody’s Economics models, and operational loss models. Collaborate with validation manager to conduct independent model validations for one or more specific areas based on background and expertise. Verify that models are performing as expected and aligning with their design objectives and business use cases while identifying potential limitations and assumptions and assessing their potential impact. Conduct thorough and comprehensive validations of various model components, ensuring that they are accurate, reliable, and aligned with the intended business objectives and regulatory requirements. Apply data analysis techniques to assess the quality, integrity, and appropriateness of data used in the models. Examine data extraction, cleaning, transformation processes, and evaluate data-related assumptions and limitations. Scrutinize the model design and construction, verifying the suitability of the modeling framework and theory for the intended use. Review model segmentation, variable selection, model testing procedures, and evaluation model assumptions, limitations, and risks. Review model code to ensure correctness, accuracy, and absence of material errors. Collaborate with model developers to address any identified issues. Assess both in-sample and out-of-sample back test results; evaluate sensitivity and scenario testing, stress testing, benchmark model development, and quantitative and business performance metrics. Provide effective challenges and identify potential model risks. Recommend appropriate mitigation measures and enhancements to improve model quality and compliance with regulatory standards. Produce high-quality, comprehensive validation reports that clearly communicate findings, recommendations, and potential risks to both technical and nontechnical stakeholders. Ensure that validation documentation adheres to internal standards. Assist model validation manager in gathering and providing materials requested by internal audit and regulators, drafting responses to questions, and defending validations in exams. Stay up-to-date with emerging trends and best practices in model validation and regulatory requirements. Contribute to the enhancement of the model validation framework by suggesting process improvements and implementing industry-leading methodologies. This is a remote role that may be hired in several markets across the United States.

Requirements

• Position requires a Master’s degree in Mathematics, Statistics, Finance, Economics, Physics, Engineering, Data Science, or a related field plus five (5) years of experience in the job offered or five (5) years of experience as a Model Validator, Risk Analytics, Analytics, Risk Management, or related occupation
• Requires extensive experience of building or validating statistical, machine-learning models for retail and commercial banking portfolios (PD, LGD, EAD, CECL, stress-testing, capital forecasting, physical- and transition-risk scenarios).
• Requires hands-on experience with the full model-risk-management life cycle: requirements gathering, data wrangling, model design, benchmarking, back-testing, sensitivity/scenario analysis including NGFS climate pathways, performance monitoring, documentation, and change-control.
• Requires experience with linear and generalized linear models (OLS, GLM, logistic/probit, Poisson, negative-binomial).
• Requires experience with survival/hazard models (Cox, competing-risk).
• Requires experience with time-series and panel-data methods (ARIMA/ARIMAX, VAR, state-space, Kalman filter).
• Requires experience with multivariate analysis (PCA, factor analysis) and regularization (LASSO, Ridge, Elastic-Net).
• Requires experience with model discrimination and calibration metrics (AUC/ROC, KS, Gini, Brier, lift/gains).
• Requires gradient boosting (XGBoost, LightGBM, CatBoost), random forests/bagging, SVM, shallow neural networks.
• Requires hyper-parameter optimization (grid/Bayesian search), feature-engineering pipelines, model explainability (SHAP, LIME).
• Requires geospatial techniques to quantify physical-risk exposure.
• Requires expert coding in SAS (Base, Macro, STAT, ETS), Python (pandas, NumPy, SciPy, scikit-learn, statsmodels), R (data, table, tidyverse, caret), and advanced SQL (window functions, ETL).
• Requires experience with version-control and CI/CD workflows with Git/GitLab/Azure DevOps; automated unit-testing and peer-review for regulatory traceability.
• Requires deep familiarity with U.S. model-risk guidance SR 11-7 & OCC 2011-12, CECL accounting standards, CCAR/DFAST stress-testing, and emerging climate-risk supervisory expectations (FRB, OCC, FDIC).
• Requires experience with translating regulatory and disclosure mandates into testable validation criteria and governance controls.
• Requires experience with design of data pipelines across large relational databases (Oracle, SQL Server, Teradata) and structured files; exposure to distributed processing (Hive/Spark).
• Requires experience with development of executive dashboards in Tableau or Power BI to communicate complex model and climate-risk results to non-technical stakeholders.

Responsibilities

• Conduct independent model validations for one or more specific areas based on background and expertise.
• Verify that models are performing as expected and aligning with their design objectives and business use cases while identifying potential limitations and assumptions and assessing their potential impact.
• Conduct thorough and comprehensive validations of various model components, ensuring that they are accurate, reliable, and aligned with the intended business objectives and regulatory requirements.
• Apply data analysis techniques to assess the quality, integrity, and appropriateness of data used in the models.
• Examine data extraction, cleaning, transformation processes, and evaluate data-related assumptions and limitations.
• Scrutinize the model design and construction, verifying the suitability of the modeling framework and theory for the intended use.
• Review model segmentation, variable selection, model testing procedures, and evaluation model assumptions, limitations, and risks.
• Review model code to ensure correctness, accuracy, and absence of material errors.
• Collaborate with model developers to address any identified issues.
• Assess both in-sample and out-of-sample back test results; evaluate sensitivity and scenario testing, stress testing, benchmark model development, and quantitative and business performance metrics.
• Provide effective challenges and identify potential model risks.
• Recommend appropriate mitigation measures and enhancements to improve model quality and compliance with regulatory standards.
• Produce high-quality, comprehensive validation reports that clearly communicate findings, recommendations, and potential risks to both technical and nontechnical stakeholders.
• Ensure that validation documentation adheres to internal standards.
• Assist model validation manager in gathering and providing materials requested by internal audit and regulators, drafting responses to questions, and defending validations in exams.
• Stay up-to-date with emerging trends and best practices in model validation and regulatory requirements.
• Contribute to the enhancement of the model validation framework by suggesting process improvements and implementing industry-leading methodologies.

Benefits

• Benefits are an integral part of total rewards and First Citizens Bank is committed to providing a competitive, thoughtfully designed and quality benefits program to meet the needs of our associates. More information can be found at https://jobs.firstcitizens.com/benefits

What This Job Offers

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