Project Manager, Model Governance #22949

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 validation, risk ratings, model inventory management, model disclosures, model usage tracking and controls. The group is also an integral part of Annual Capital Planning (CCAR) exercise.

The Project Manager in the Model Risk Management team will conduct the model validation activities for enterprise wide scorecards, loss forecast, strategic and capital planning, including economic capital, and other statistical and financial models according to the governance framework, policies and procedures.

Major areas of responsibility for this role include:

• Perform independent validations on statistical, financial, and/or capital planning models in different life cycle of an account from marketing and acquisitions, underwriting, loss forecast, cross-sell, collections in different lines of businesses like credit cards, network, payments, consumer loans and deposits.
• Write and present model validation reports. Present status updates to the management.
• Management of tasks and project, including task assignment and review of output from offshore team.
• Interpret model validation test results and establish required action plans with model owners and developers to remediate findings. Provide value-added recommendations to model owners and developers.
• Actively collaborate with model users and business areas to facilitate the implementation of recommendations.
• Maintain and enhance the enterprise-wide model inventory. Maintain working papers and records of model validation results. Be able to query data from multiple sources and platforms (SAS, Teradata, Essbase, Excel, and others) to find the right information for the problems.
• Provide expertise by maintaining current knowledge of modeling theory as described in academic journals
• Validate data and model input and output for accuracy; build benchmark models, when necessary, using the best practice approach in the appropriate areas.
• Interfaces with business partners in Credit Risk, Finance & Treasury, Marketing, Banking, Consumer Loans and Business Technology

Qualifications

• Masters or equivalent in economics, statistics, finance, operation research or other quantitative fields.
• 4 years of experience in developing, testing, implementing and validating complex and sophisticated financial, econometric and statistical models in credit card, consumer lending or payments industry.
• In depth experience and understanding of statistical modeling concepts (logistic and GLM, decision tree, and neural network) or financial modeling concepts (e.g., multi-factor regression models, time series analysis, VaR, Markov chains, Monte-Carlo analysis, etc.).
• Demonstrated proficiency in statistical tools and technology such as eViews, SAS, KnowledgeSeeker, KXEN, R etc.
• Excellent communication skills – both verbally and written – and be able to relate to all level of employees.
• Ability to multi task and with flexibility to support dynamic work environment and be able to quickly adapt to new challenges or changing priorities. Must be detail oriented.
• Be able to read and interpret instructions, policy, procedures, program information, etc.
• Background in mathematical finance and experience in model review and validation in the financial industry is strongly preferred. PhD preferred.

• Experience with vendor models and knowledge of credit bureau attributes and/or Stress Testing, Capital Planning and Basel II (PD, LGD, EAD framework).

• Knowledge of current regulations and guidelines, prior experience in interaction with regulators.

Lean, Six Sigma and/or demonstrated process improvement expertise a plus We are an Equal Opportunity Employer and do not discriminate against applicants due to race, ethnicity, gender, veteran status, or on the basis of disability or any other federal, state or local protected class.