Avp - Risk Management Officer, Model Risk Management

Wintrust is a financial holding company with approximately $50 billion assets under management and traded on the NASDAQ:WTFC. Built on the "HAVE IT ALL" model, Wintrust offers sophisticated technology and resources of a large bank while focusing on providing service-based community banking to each and every customer. Wintrust operates fifteen community bank subsidiaries with over 170 banking locations in the greater Chicago and southern Wisconsin market areas. Additionally, Wintrust operates various non-bank business units including commercial and life insurance premium financing, short-term accounts receivable financing, out-sourced administrative services, mortgage origination and purchase, wealth management services and qualified intermediary services for tax-deferred exchanges.
Location:
Job location -Rosemont, IL-Hybrid position with some telecommuting flexibility, but requirement to physically be in Rosemont, IL office occasionally/as needed.
Responsibilities:

• Provide independent Model Risk Management and support for the VP of Model Risk as follows:

• Perform independent and comprehensive validation of bank-wide statistical/econometric/ mathematical/qualitative (expert judgment) models for stress testing, asset allocation, valuation and pricing, AML scoring framework in compliance with SR 11-7/OCC 2011-12 and Model Risk Management (MRM) policy and procedures.
• Develop a model validation testing plan commensurate with the Model Risk tier and perform quantitative and qualitative tests to assess models for conceptual soundness, implementation accuracy, data integrity, and performance accuracy, including back testing, sensitivity analysis, scenario analysis, benchmarking, and governance.
• Provide effective and meaningful challenge during the following processes of model validation: Review of conceptual soundness; Review adequateness of modeling data; Materiality analysis of model assumptions and limitations; Review of model theoretical framework and design; Review of model performance.
• Review of Model Documentation to ensure compliance with regulation/policy. Model documentation review should consist, amongst others, the following: Assessing the quality of model documentation; Reviewing documentation of developmental evidence; Review documentation of model governance; Review testing results in the model methodology document.
• Design and execute a comprehensive and granular program for the following: Data Validation; Model theoretical framework and design; Assumptions and Limitations testing; Model
• Conceptual soundness; Back-testing; Model Effectiveness Testing, Sensitivity Analysis; and Benchmarking for material portfolios.
• Perform ongoing monitoring of all the models in line with the validation calendar, and monitor the performance of those models through statistical tests. Evaluate the model adjustments, such as overlays and buffers, wherever applicable.
• Contribute to enhancing current processes for model validation.
• Manage activities related to model governance and assist VP Model Risk Management in creating reports for the senior management, executive management, risk committees, and regulatory exams.
• In collaboration with the VP of Model Risk Management, interfaces with key stakeholders throughout the validation process to discuss the justification and reasoning behind validation and review findings.
• In collaboration with VP, Model Risk Management, determine whether the response and remediation plan received from model owners and users in response to a finding adequately addresses the findings. Follow up with model owners to ensure findings are remediated in a timely manner.
• Use the MRM Model Validation tool to perform model validation activities. Assists in the annual model certification process and maintain status updates from the model owners. Maintain and update the model inventory.
• Maintain status updates, and facilitate resolution/escalations of issues in a timely fashion.
• Assist in special ad-hoc projects.

Requirements:
Master's degree in Statistics, Financial Mathematics, Economics, Finance, or related field and 3 years of relevant experience.
The position also requires:

• Experience in model development (building, testing, implementing) or validation of models.
• Experience with regulations, including Dodd-Frank, Basel III, SR 11-7/OCC 2011-12, and SR 14-3
• Experience with Financial products.
• Experience with Financial models, Valuation Models, Capital and Liquidity models, Stress-testing models, Credit Scoring and AML scoring framework.
• Experience or theoretical knowledge with single and multifactor models, VaR, modeling in default modeling; credit loss modeling; single and multifactor regression models; time seriesmodels; Monte-Carlo simulations.
• Experience with handling and manipulating large data sets.
• Programming Skills including:
  
  • Experience with SAS or Python.
  • Working knowledge in one or more of the following technologies: SQL, MATLAB, and VBA.
• Project management skills: Execute model validation projects as per the timelines in testing plans.

From our first day in business, Wintrust has been proud to serve a variety of unique communities and people from all walks of life. To be Chicago's Bank® and Wisconsin's Bank®, we need to reflect that diversity both in all the communities we serve, the people we employ, the organizations we work with, and our banking and lending practices. Wintrust Financial Corporation, including community banking and financial services subsidiaries, is an Equal Opportunity Employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, national origin, sex, sexual orientation, gender identity and expressions, genetic information, marital status, age, disability, or status as a covered veteran or any other characteristic protected by law.