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Form of workThis position is within First Citizens Bank’s Model Risk Management (MRM) team, with a primary focus on conducting validations for the bank's models used for market risk and liquidity risk. Our team encompasses a diverse range of models.
The analyst will collaborate with validation manager to conduct independent Model Validations for one or more specific areas based on their background and expertise. The primary objective is to verify that models are performing as expected and aligning with their design objectives and business use cases while identifying potential limitations and assumptions and assessing their potential impact.
This role provides an excellent opportunity for the analyst to rotate within the team, gaining a comprehensive and holistic understanding of the bank's financial model risk management framework.
Responsibilities
- Comprehensive Model Validation: Conduct thorough and comprehensive validations of various model components, ensuring that they are accurate, reliable, and aligned with the intended business objectives and regulatory requirements. This includes but is not limited to:
- Model Inputs Analysis: Apply data analysis techniques to assess the quality, integrity, and appropriateness of data used in the models. Examine data extraction, cleaning, transformation processes, and evaluate data-related assumptions and limitations.
- Model Framework Evaluation: Scrutinize the model design and construction, verifying the suitability of the modeling framework and theory for the intended use. Review model segmentation, variable selection, model testing procedures, and evaluation model assumptions, limitations, and risks.
- Model Code Review: Review model code to ensure correctness, accuracy, and absence of material errors. Collaborate with model developers to address any identified issues.
- Outcomes Analysis: Assess both in-sample and out-of-sample back test results; evaluate sensitivity and scenario testing, benchmarking analyses and quantitative and business performance metrics.
Qualifications
- Bachelor's Degree and 4 years of experience in Risk management, or financial analysis, or statistical modeling OR High School Diploma or GED and 8 years of experience in Risk management, or financial analysis, or statistical modeling
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 7+ years (5+ years with a Ph.D.) of experience in model development, Model Validation, or model implementation within the financial industry. Proficiency in statistical methods (e.g., linear regression, logistic regression, survival analysis, ARIMAX), optimization, hedging and valuation (Equities, Fixed Income, Derivatives, Structured Products, and FX) and programming languages (e.g., Python, R, SAS, MATLAB, C++, SQL, VBA).
Minimum 7+ years (5+ years with a Ph.D.) of experience with an ALM software (such as QRM, Empyrean, etc.) or minimum 7+ years (5+ years with a Ph.D.) of experience in a Treasury or Risk Management role related to liquidity risk or market risk.
Strong understanding of regulatory requirements: SR 11-7/ FIL-22-2017.
Understanding of Treasury regulatory requirements is a plus (e.g., SR 10-1, SR 10-6, SR 11-10, SR 16-3, and Reg YY).
Excellent problem-solving skills, attention to detail, and ability to work both independently and collaboratively within a team.
Excellent written and verbal communication skills.
Chartered Financial Analyst (CFA), Financial Risk Manager (FRM), or equivalents is a plus but not required.
The base pay for this position is relative to your experience but the range is generally $97,000 to $150,000 per year. This position is eligible for variable compensation, which may be in the form of incentive, bonus, or commission pay. First Citizens offers a competitive, comprehensive benefits program which you can review here: https://jobs.firstcitizens.com/benefits.
