- Model Risk Management (MRM) is responsible for performing validations of OCC’s credit risk models and related risk applications as well as monitoring model performance. The group reports model findings and model-related issues internally as well as externally in-line with its Model Risk Management Policy and regulatory requirements.
- The Executive Director leads the Model Risk Governance function within MRM.
- The Executive Director will be MRM’s representative for model governance in communications with internal stakeholders as well as OCC’s regulators.
- The Executive Director is responsible for the Model Risk Governance processes covering model change management including changes impacting inputs and outputs of models and related calculations.
- The Executive Director owns the Model Lifecycle activities as they relate to MRM to include the status of model development covering new models or modifications to models, communication of modeling issues to stakeholders (internal/external), tracking model-related deliverables throughout the model lifecycle, performing ad-hoc model performance analysis, ensuring consistency with the governance framework.
- Similarly, the Executive Director owns the Lifecycle activities as they relate to MRM of calculations related to model inputs and model outputs inclusive of final outputs critical to OCC’s credit risk management.
- The Executive Director is responsible for the preparation of reporting related to model validation, model governance, and model risk management for presentation at the Model Risk Working Group meetings, Management Committee meetings and OCC’s Risk Committee meetings.
- The Executive Director supports the Managing Director promoting a risk-aware culture, ensuring efficient and effective risk and compliance management practices by adhering to required standards and processes.
Primary Duties and Responsibilities:
To perform this job successfully, an individual must be able to perform each primary duty satisfactorily.
- Develop, implement, and maintain Model Validation, Model Governance, and Model Risk Management Procedures in accordance with the OCC’s Model Risk Management Policy.
- Conduct Quarterly Self-Assessments of MVG’s compliance with Model Risk Management control processes and implement remediation of any self-identified findings.
- Prepare presentation and present findings from validation work to management and stakeholders, including recommendations as appropriate.
- Prepare documentation related to model validation and model risk management for presentation at Management Committee meetings and OCC’s Risk Committee meetings.
- Organize and conduct periodic meetings with model developers, model owners, and model validators to review and discuss model performance, limitations, open interest, etc.
- Conduct annual model reviews including process verification, performance monitoring, degree of changes, etc. and document the findings and comments in the annual review report.
- Utilize industry experience and assist in model validation findings monitoring, reporting, and evaluating the corrective actions. Support senior managers to communicate findings and recommendations from model validation reports to model owners and model users.
- Work closely with model owners and model users to evaluate the model use and business applications.
- Manage the model inventory and lead process improvements. Maintain status updates, and facilitate resolution/escalations of issues in a timely fashion.
- Supporting the business and corporate risk management in interactions with regulators and external auditors on matters related to model risk management.
- Supervisory responsibility for staff within the model governance function.
The requirements listed below are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the primary functions.
- Strong analytical and quantitative skills
- Must have strong communication skills and the ability to explain model-related issues to a non-quantitative audience.
- Strong analytical thinking and problem solving abilities with attention to detail and exceptional organizational skills supported by outstanding written and verbal communication skills.
- Self-directed; ability to work both independently with little direction or oversight and in a team-oriented, collaborative environment.
- Ability to work well under pressure with multiple priorities and time-sensitive deadlines.
- Familiarity working in a regulatory environment and understanding of SR 11-7, CCAR, etc.
- Basic understanding of exchange traded derivative securities and futures and related risk control systems is required.
- Hands on experience in Microsoft Access (or other databases), SQL, Microsoft Excel, and Microsoft PowerPoint
- Ability to interact with all levels of organization as well as internal and external customers and to communicate technical information to any audience.
- Experience with SQL and/or R
- Understanding of database structures.
- Ability to modify and execute basic SQL using appropriate query tools (i.e. DB2 Connect).
- Ability to analyze, evaluate, and quantify the impact of issues involved.
- Experience with documentation preparation programs (Latex, etc.)
- Highly proficient in Microsoft Office products.
Education and/or Experience:
- Experience in financial services, risk management and/or trading is required.
- Deep understanding of financial products, pricing methodologies, risk management and Central Counterparty regulatory requirements
- Experience with SR11-7 and related regulatory requirements for CCA’s is required.
- Advanced degree in Economics, Finance, or related field.
- Minimum 10 years of experience; consulting or complex financial institution with good understanding of the business, financial products and the market (Required)
Certificates or Licenses:
- Advanced certifications in the fields of financial services, capital markets, etc. are desired.
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OCC is an Equal Opportunity Employer