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Manager, Model Risk Management
Discover Financial Services
Riverwoods, IL, United States
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Job Description
Discover Financial Services (DFS) is a direct banking and payment services company with one of the most recognized brands in the U.S. The company has an outstanding opportunity in its highly visible Corporate Risk Management (CRM) department for a risk manager with experience in model risk management practices for a bank or large financial services organization. The Model Risk Management group has enterprise-wide oversight responsibility for all aspects of model risk including model governance, model validation and model performance monitoring. This group validates and approves all qualifying models used across different areas of the enterprise. The scope of the team includes model risk ratings and validations, model inventory management, and maintain model governance policies and procedures.
This highly visible role in the Model Risk Management team will manage the execution of model validation activities for financial models according to the governance framework, policies and procedures, and provide recommendations for continuous model enhancements across the enterprise.
Responsibilities:
• Perform independent model validations and effectively challenge financial models across Discover which are used in CCAR/DFAST/Planning process as well as in loss reserving
• Interpret model validation test results and establish required action plans with model owners/developers and provide value-added recommendations to model owners/developers.
• Proactively identify emerging model risk issues impacting the Company and communicate to model developers, senior management and the DFS Model Governance Committee.
• Maintain high quality standardized model validation documentation, and keep up to date with regulations, regulatory exam requirements and regulatory guidance. Interact with external regulators and internal auditors to demonstrate the operational soundness and effectiveness of the model validation process.
• Maintain current/develop new analytical reports and presentations for senior management, executive committees and regulatory exams. Manage the work flow of a team of off-shore/on-shore model validators.
• Promote a risk-aware culture, ensure efficient and effective risk and compliance management practices by adhering to required standards and processes.
Relationships:
• Reports to Senior Manager/Director in Model Risk Management
• Interfaces primarily with business partners in Financial Modeling space
Skills
Skills Required:
• Masters or equivalent advanced degree in economics, statistics, mathematical finance, operations research, or other quantitative field is preferred.
• 5+ years of experience in building, testing, implementing and validating complex and sophisticated econometric and statistical models. Working experience with macroeconomic models used for economic forecasting is highly preferred.
• In-depth knowledge and understanding of finance, economics, and probability theories, and experience working with time series, regression, econometric modeling, Monte Carlo simulations, fixed income modeling, etc.
• Proficiency in statistical and financial software such as QRM, SAS (or equivalent), R, SQL, Excel (and VBA), @RISK, etc.
• Experience writing high quality standardized reports, white papers, and preparing effective presentations.
• Strong interpersonal and written and oral communication skills, and a proven ability to work in a collaborative and team environment.
• Ability to interact with all levels of the organization as well as internal and external customers, and to communicate technical information to any audience.
• Experience with the following would be beneficial: experience with QRM, knowledge of regulations (FASB guidance on CECL, Dodd-Frank, Federal Reserve and OCC guidance on model validation and stress testing, etc.), experience interacting with regulators, FRM or PRM certification.
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