Quantitative Model Validation Analyst

The Quantitative Model Validation Analyst role resides within the Bank’s Risk Management and Compliance organization. Specifically, this position supports the Bank’s Model Risk Management (MRM) program. The overall MRM program is designed to provide governance, oversight, and control processes to effectively identify, measure, monitor, and manage model risk across the enterprise.

Quantitative Model Validation Analysts within MRM provide independent and effective challenge of models that the Bank relies upon for critical business, financial, and risk management decisions. More specifically, the incumbent will be a member of the team responsible for the independent validation of macroeconomic forecasting models used in regulatory and business planning processes, including CCAR, CECL, capital planning and other business-as-usual (BAU) activities.

The incumbent will work closely with Model Owners and Developers to perform thorough, risk-focused validations and independently challenge model assumptions, theoretical foundations, estimation techniques, variable selection methodologies, forecasting performance, scenario design, sensitivity analyses, and outcome reasonableness. Validation activities will be conducted in compliance with regulatory guidance, and the Bank’s Model Risk Management Policy and Standards. The incumbent will be responsible for assessing model risks, limitations, uncertainties, and potential sources of forecast error, and for providing independent conclusions regarding model appropriateness and fitness for use.

The role requires strong analytical and quantitative skills, including experience with econometric modeling, time-series analysis, macroeconomic forecasting, stress testing methodologies, and statistical model performance evaluation. The incumbent will be expected to conduct independent testing, benchmarking, back-testing, sensitivity analysis, and other validation procedures to evaluate model conceptual soundness, ongoing performance, and compliance with regulatory expectations.

The incumbent will document validation procedures, findings, and conclusions in comprehensive validation reports and present results to model owners, developers, governance committees, and executive management. He/she will regularly interact with key stakeholders across Risk Management, Finance, Treasury, and Business Lines, and will interface with regulators (OCC and Federal Reserve) and Internal Audit to explain validation approaches, findings, model risk assessments, and remediation recommendations. The ability to clearly communicate complex quantitative concepts to both technical and non-technical audiences is essential for success in this role.

Preferred Skills/Experience

·        Excellent knowledge in economics, finance, statistics, and mathematics

·        Proficient in the Python, SAS, and R programming languages

·        Experience in macroeconomic forecast model development or validation, and experience in stress testing models

·        Critical thinking, problem solving, and creativity

·        Strong written and verbal communication skills (ability to explain complex ideas in simple, non-technical language)

·        Ability to establish and maintain effective working relationships with peers, business line managers, and colleagues across the bank

·        Highly motivated with the ability to learn and to understand various business lines and their functions within the organization

·        Ability to work independently as well as collaboratively within a team environment.

·        Strong organizational skills and the ability to work on multiple tasks effectively

·        Knowledge of regulatory guidance

LOCATION EXPECTATIONS:  This role requires working from a U.S. Bank Location three (3) or more days per week.