Selby Jennings
A regional bank based in Indianapolis is seeking a Model Risk Analyst or Lead to join its Enterprise Risk Management (ERM) team. Reporting to the Director of Model Risk Management and Validation, this role is central to assessing and managing model risk across the institution.
Job Description
Key Responsibilities: Perform validations of financial models including credit risk, interest rate derivatives, mortgage prepayment/default, and asset-liability management models. This includes backtesting, benchmarking, stress testing, scenario analysis, and evaluating model controls and documentation. Produce comprehensive validation reports and memos detailing methodology, findings, and recommendations; present results to model owners and users. Review and assess model changes, determine significance, and conduct limited-scope validations as needed. Develop benchmarking models and data analytics tools, including machine learning applications, to support validation and performance monitoring. Provide independent assessments on modeling issues and manage third-party model validations. Participate in audits and regulatory exams; support remediation of findings and contribute to regulatory reporting. Required Qualifications: Strong experience in mortgage valuation (e.g., MBS/CMO, whole loan, prepayment/default modeling); familiarity with tools such as AD&Co, Black Knight, Moody's MPA, and Intex is highly desirable. Experience with credit risk models (PD/LGD, credit ratings, collateral haircuts, stress testing). High proficiency in Python (preferred), R, Julia, or MATLAB. Hands-on experience with machine learning/AI models and valuation platforms such as PolyPaths, QRM, Calypso, Yieldbook, FINCAD, or Numerix is a plus. Familiarity with regulatory guidance on model risk management (e.g., FHFA AB 2013-07, AB 2022-03, OCC Bulletin 2011-12, FRB SR 11-17) is a plus. Seniority level and Employment type
Senior level, Full-time Job function
Finance We are an equal opportunities employer and welcome applications from all qualified candidates.
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Key Responsibilities: Perform validations of financial models including credit risk, interest rate derivatives, mortgage prepayment/default, and asset-liability management models. This includes backtesting, benchmarking, stress testing, scenario analysis, and evaluating model controls and documentation. Produce comprehensive validation reports and memos detailing methodology, findings, and recommendations; present results to model owners and users. Review and assess model changes, determine significance, and conduct limited-scope validations as needed. Develop benchmarking models and data analytics tools, including machine learning applications, to support validation and performance monitoring. Provide independent assessments on modeling issues and manage third-party model validations. Participate in audits and regulatory exams; support remediation of findings and contribute to regulatory reporting. Required Qualifications: Strong experience in mortgage valuation (e.g., MBS/CMO, whole loan, prepayment/default modeling); familiarity with tools such as AD&Co, Black Knight, Moody's MPA, and Intex is highly desirable. Experience with credit risk models (PD/LGD, credit ratings, collateral haircuts, stress testing). High proficiency in Python (preferred), R, Julia, or MATLAB. Hands-on experience with machine learning/AI models and valuation platforms such as PolyPaths, QRM, Calypso, Yieldbook, FINCAD, or Numerix is a plus. Familiarity with regulatory guidance on model risk management (e.g., FHFA AB 2013-07, AB 2022-03, OCC Bulletin 2011-12, FRB SR 11-17) is a plus. Seniority level and Employment type
Senior level, Full-time Job function
Finance We are an equal opportunities employer and welcome applications from all qualified candidates.
#J-18808-Ljbffr