This position is within First Citizens Bank's Model Risk Management (MRM) team. The director/senior director of Treasury/ALM Model Validation (senior director) will report to Head of Model Risk Management. As a key leader in building and maturing the model risk function, the senior director will add significant value to First Citizens by adopting industry best practices and will position the bank effectively for sustained growth. Oversees a team of associates that provide crucial business insight for risk management initiatives and strategies. Key elements of the senior director's mandate will include creating and executing against SR11-7 and SR15-19 compliant financial risk Model Validation standards for deposit, interest rate, and liquidity risk, in addition to PPNR modeling and other financial models as required. In creating and maintaining these standards, the senior director will provide independent oversight and effective challenge of the bank's activities related to the development, documentation, use, inventory management, and validation of estimation approaches related to Treasury/ALM models.
Responsibilities:
- Model Risk Management - Provides independent oversight and effective challenge over the Bank's activities related to the development, documentation, use, inventory management, and validation of estimation approaches (models and non-model estimates), ensuring compliance with the model risk management policy and standards:
- Drives SR11-7 and SR15-19 model risk compliant validation projects to completion on time and with high efficacy.
- Seeks out and employs new technologies and techniques to improve the efficiency and accuracy of Model Validation work.
Preferred Qualifications:
Advanced degree (Master's or Ph.D.) in a quantitative field (e.g., Mathematics, Statistics, Computer Science, Data Science, Finance, Economics, Physics, Engineering, Operations Research, or a related discipline).
Minimum 10+ years of experience in model risk, model development, Model Validation, or model implementation within the financial industry.
Strong understanding of regulatory requirements: SR 11-7/ FIL-22-2017.
Demonstrated intellectual aptitude and academic and/or professional training to effectively lead teams of statistical modelers.
Excellent problem-solving skills, attention to detail, and ability to work both independently and collaboratively within a team.
Excellent written and verbal communication skills.