Sr. Model Risk Analyst

Federal Home Loan Bank of Cincinnati•Cincinnati, OH

About The Position

The Sr. Model Risk Analyst independently leads and supports activities to manage and mitigate model risks for the Bank. The role performs model validations, monitors governance, and provides guidance and expertise on models used for pricing, risk measurement, and decision-making. The analyst collaborates with stakeholders to support model accuracy, reliability, and regulatory compliance. The position contributes to the Bank’s model risk management framework, policies, procedures, and processes, including model inventory, model change management, and ongoing model monitoring. It also identifies model-related risks and opportunities to improve or automate processes within the model risk management function and ERM department, and provides guidance and mentorship to junior team members.

Requirements

Master’s degree in finance, economics, mathematics, statistics, or financial engineering, or equivalent work experience with financial, statistical, market risk, or credit risk models.
At least seven years of experience in model validation and/or model development at a financial institution, rating agency, regulatory agency, or as a financial industry consultant.
Strong understanding of financial models and their application in pricing, risk measurement, and decision-making.
Knowledge of model types including credit risk, market risk, and liquidity risk models.
Proficiency in programming languages such as Python, R, or MATLAB, including data manipulation, statistical analysis, and model development.
Advanced or intermediate Microsoft Office skills, particularly Excel and Word.
Strong analytical and problem-solving skills, including the ability to critically evaluate complex models and identify potential risks.
Excellent written and verbal communication skills, including the ability to explain technical concepts and validation results to technical and non-technical audiences.
Detail-oriented, with strong organizational skills and the ability to manage multiple projects and meet deadlines.
Ability to work collaboratively and build effective working relationships with stakeholders at various levels.
Demonstrates interest in working with varied backgrounds and perspectives aligned with the Bank’s core value, and promotes empathy, respect, and inclusion.

Nice To Haves

Ph.D. in a relevant discipline.
Knowledge of regulatory guidelines and industry standards for model risk management, such as AB 2013-07, SR 11-7, and OCC Bulletin 2011-12.

Responsibilities

Independently perform model validation and governance activities, assessing model accuracy, reliability, and robustness.
Review model assumptions, methodologies, and implementation; identify limitations, weaknesses, and gaps; and propose enhancements or alternative approaches.
Contribute to developing and enhancing the Bank’s model risk management framework, policies, and procedures.
Support model risk management processes, including model inventory, model change management, and ongoing monitoring.
Coordinate with stakeholders to ensure compliance with regulatory model risk requirements, including FHFA AB 2013-07 and FHFA AB 2022-03.
Identify and assess risks associated with financial models, including errors, biases, and limitations.
Prepare model validation reports documenting the validation process, findings, and recommendations.
Collaborate with stakeholders and provide guidance and expertise in support of the Bank’s model risk management environment.
Provide guidance and mentorship to junior members of the model risk management team.
Stay informed about emerging trends, industry best practices, and technological advancements in model risk management.
Identify opportunities for process optimization, automation, and efficiency improvements within model risk management and the ERM department.
Perform additional duties as requested by management.