Responsible for independent model validations, including: reviewing model documentation for completeness, assessing the suitability of models for their intended purposes, performing stress testing and other sensitivity analysis, reviewing data inputs and outputs, and making recommendations for improvements. Assist in several model governance activities in business areas including regulatory capital stress testing (CCAR/DFAST and Advanced Approaches).
- Assist in reviews of bank-wide risk and capital models, including models for CCAR/DFAST stress testing of capital resources, operational risk, PPNR, liquidity stress models and ALM models.
- Evaluate conceptual soundness of model specifications; reasonableness of assumptions and reliability of inputs; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of model.
- Independent validation of capital, impairment, pricing models and scorecards and review of regulatory self-assessment tools across asset classes (retail, wholesale, derivative, asset management).
- Assess and measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks.
- Document and present observations to manager of the Model Risk Management Unit and to model owners and users, recommend management action plans, and track remediation progress.
- Monitor model performance reports on an on-going basis to ensure models remain valid, as well as contribute in the bank-wide model risk and control assessment.
- Support the creation and maintenance of the enterprise-wide model inventory, model control standards, and model risk ranking. Models include those used within the various Business Units for supporting financial reporting, risk management, decision-making, Basel II risk weighted assets calculations, and economic capital estimation.
- *Minimum 3 years of quantitative analysis experience in a discipline relevant to risk management to include statistical analysis, modeling, mathematics
- *Minimum 3 years of experience with model validation or development
- *Minimum 3 years of experience with analytical tools, such as SAS, R, MATLAB, Python, or EViews.
Skills and Knowledge:
- Bachelor's degree (masters preferred) in risk, finance, mathematics, engineering or statistics or related discipline with 3-5 years of auditing, consulting or banking experience
- Experience in Model validation, development or similar experience within an Internal Audit function. Hands-on experience of risk and financial modelling is desirable, but regardless of experience all candidates should be able to demonstrate an understanding of valuation modelling, financial and bank focused products.
- Experience in data management and analysis preferred
- Programming experience with software applications such as SAS, R, SQL, VBA a plus preferred
- Extensive knowledge and experience with various models -- Regression, Market Risk, Operational Risk, Credit Risk, PPNR, and analysis tools including Excel, EViews, or Stata applications preferred
- Advanced degree in finance, economics, statistics or related field (Masters preferred). Industry certifications a plus (e.g., CFA, FRM) preferred
- Proven track record of strong technical model development, model management, and/or model oversight in one or more of the following areas: credit risk management, market / interest rate risk management, economic capital estimation, and valuation.
- Proven knowledge of banking systems and processes, risk management methodologies, and familiar with Model validation function.
- Knowledgeable about model risk management and associated regulatory requirements such as OCC 2011-12, Basel II, SR 15-18/19.
- Strong project management capabilities.
- Deep modeling and technical skills. Advanced Excel skills with ability to apply and review formulas and functions, along with extensive knowledge with the suite of MS Office applications.
- Demonstrated ability to think critically and facilitate change through collaborative effort. Strong interpersonal, verbal, and written communication skills.
- Self-motivation, discipline, task focus, the ability to structure and present work and a proven record of delivering high quality results within strict deadlines.
*Represents basic qualifications for the position. To be considered for this position you must at least meet the basic qualifications.
City National Bank is an Equal Opportunity/Affirmative Action Employer, Minorities/Females/Individuals with Disabilities/VeteransNote
: This preceding job description has been designed to indicate the general nature and level of work performed by employees within this classification. It is not designed to contain or be interpreted as a comprehensive inventory of all duties, responsibilities, and qualifications required of employees assigned to this job. Note
: Candidates should be advised that City National Bank does not pay interviewee travel expenses or relocation expenses for candidates who are hired unless previously agreed.
Equal Opportunity Employer Minorities/Women/Protected Veterans/Disabled
A little about us:
With $46.9 billion in assets, City National Bank provides banking, investment and trust services through 72 offices, including 17 full-service regional centers, in Southern California, the San Francisco Bay Area, Nevada, New York City, Nashville, Atlanta and Minneapolis.