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Senior Model Risk Manager – Head of Framework and Governance, Managing Director
Mitsubishi UFJ Financial Group
New York, NY, United States
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Description
The Bank's America’s Model Risk Management (AMRM) unit is responsible for the management of enterprise-wide model risks associated with the Bank's development, deployment, maintenance and use of quantitative models. Model risk occurs in two fundamental ways: the error in estimation of a measure such as price, valuation or risk, and in the potential misapplication or use of a model or its output. In order to manage model risk in these aspects, the Bank has developed and implemented a comprehensive framework across its three lines of defense. The first line of defense being the business units that build, maintain and use models, the second line is the AMRM – responsible to establish and maintain the framework – includes the independent validation of all models and managing model risk in aggregate at the enterprise level, and lastly the third line is the independent audit function which reviews the effectiveness of the framework.
The Senior Model Risk Manager – Head of Framework and Governance position is a key role in AMRM and reports directly to the Bank's Head of Americas Model Risk Management. The successful incumbent will manage the AMRM group’s framework and governance related functions to support the Bank’s Model Risk Management program and can represent AMRM on behalf of Head of AMRM if needed. They must be an influential leader and a strong risk manager with solid risk management skills and experience in at least one of the following areas: Model Risk, Operational Risk, Compliance, Internal Audit, Regulatory Bank Supervision. This position will require organizing and planning validation and other model risk management related activities across various corporate entities according to Enhanced Prudential Standard regulations.
Major Responsibilities:
• Evolve the Bank’s Model Risk Management program
◦ Evolve the Bank's culture to exceed best practices on model management understanding the comprehensive vision on managing model risk.
◦ Maintain, implement and continuously improve the Company’s Model Risk Management Policy, Procedures, and related Guidelines.
◦ Develop and execute initiatives such as conducting applicable research on modeling methodologies and management of model risk. Potentially publish research to support our aspiration of thought leadership.
• Senior team lead in the AMRM group
◦ Develop, maintain and execute the AMRM’s strategic vision.
◦ Lead a team of highly skilled resources across different locations in managing the operational aspects of the model risk management program.
◦ Substitute for Head of AMRM in performing applicable responsibilities in his/ her absence if needed.
◦ Develop model risk management talent and lead the effort for future acquisition of staff. Accountable for annual budget and resource requirements.
• Represent the program to senior stakeholders and lead outreach activities to promote model risk management throughout the organization
◦ Develop strong relationships with the management of business units and their respective modeling teams vis-a-vis understanding their business processes, respective portfolios and quantitative modeling environment – inventory of models and attributes such as uses, limits on use, operational controls, governance, etc.
◦ Serve as the main contact to external and internal examiners to ensure transparency in existing processes, address MRA and audit findings as needed related to relevant exams. Collaborate with Risk and Control teams on issue management and resolution.
◦ Collaborate with stakeholders across the Combined US Operations entities to ensure the Model Risk Management Program related infrastructure elements are consistently applied.
◦ Support the Head of AMRM on all presentations and ongoing communications with the risk committee framework and senior management, such as the vice chairs, CRO, CFO and the Risk Committee of the Board, of the bank regarding model risk and its potential effects on the risk profile of the Bank. This individual will be responsible for periodical reporting to these committees and constituencies on the state of model risk.
• Execute various aspects of the model risk management program to fully comply with the program
◦ Maintain and support the Analytical Tool related validation process.
◦ Management reporting: manage the model risk management system to ensure quality and timeliness of model lifecycle data to provide executive management, model owners, and other stakeholders actionable status on validations, remediation of findings, and model performance monitoring.
◦ Support model validation efforts in non-quantitative areas and build out validation quality control program.
◦ Active participation in ongoing monitoring and challenging of CCAR model overlays.
Qualifications
◦ Candidates should show strong commitment to implementing best practices and possess high internal standards.
◦ A team player who can excel in a fast paced challenging work environment with a strong desire to learn new things and the ability to adapt to a changing environment.
◦ A high energy level with the desire to contribute to the ongoing success of AMRM at the Bank.
◦ Excellent communications skills, both oral and written are essential.
◦ The successful candidate will have superb interpersonal skills and experience in working with business areas in a service-oriented and value add style.
◦ Strong knowledge about model risk and associated regulatory requirements such as OCC 2011-12/ SR11-7 and Basel II/ III, CCAR, GAAP, SOX, etc.
◦ Highly advanced project management capabilities. Industry certifications a plus (e.g., CFA, FRM).
◦ 15+ years of hands on experience working within a leading financial services organization (e.g. commercial bank, investment bank, asset manager etc.), consulting firm (e.g. Deloitte, Oliver Wyman, Ernst & Young, PWC etc.), or a leading analytic solutions provider (e.g. RiskMetrics, Moody's/ KMV, QRM, etc.). Audit and/or regulatory experience a plus.
◦ Proven track record of strong model risk management capabilities (framework development, validation testing and process management etc).
◦ Experienced in managing finance and/or risk systems (data analysis, systems management, automated reporting)