Model Risk Manager
Company: MUFG
Location: San Rafael
Posted on: January 10, 2021
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Job Description:
Job Description:Serving as the model validation lead for credit
loss statistical models including ratings, economic capital, and
models used for Comprehensive Capital Analysis and Review (CCAR)
and Dodd-Frank Act Stress Tests (DFAST) submissions; Independent
testing and documenting validation results, including analyzing and
interpreting statistical data, assessments of model conceptual
soundness, evaluation of data and assumptions, testing model
computational accuracy, and performing outcomes analysis; Managing
the resolution of findings, recommending management action plans,
and tracking remediation progress; Assisting in the development,
maintenance and implementation of the Bank's Model Risk Management
Program utilizing statistical methods; Consulting with model users
on the design of effective model operational controls; Interfacing
with regulators from the Office of the Comptroller of the Currency
(OCC) and Federal Reserve Bank (FRB); and contributing to
regulatory bank exams by preparing materials regarding the results
of statistical analysis for regulators, and presenting to various
bank examiners as required; Giving industry presentations as
required; and preparing, and presenting state-of-the-art modeling
techniques at banking industry conferences; Coordinating third
party consulting contracts for model validation related work.
Education: Master's degree in Economics, Financial Engineering,
Mathematics, Statistics or a related field (or foreign equivalent
degree). Experience: 5 years of experience in the banking industry
in a risk management capacity building or validating statistical
forecast models using SAS or R, including CCAR or DFAST models.
Location: San Francisco, CA We are committed to leveraging the
diverse backgrounds, perspectives and experience of our workforce
to create opportunities for our people and our business; Equal
Opportunity Employer: Minority/Female/Disability/Veteran.
Keywords: MUFG, San Rafael , Model Risk Manager, Executive , San Rafael, California
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