Senior Model Risk Analyst, Derivatives (Remote)

First Citizens; Raleigh (NC); Remote; USD 80,000 - 140,000; Full time

Job summary

An established industry player is seeking a Senior Risk Analyst to enhance its Model Risk Management function. This pivotal role involves collaborating with various business lines to execute model risk management activities, including model governance and validation. The ideal candidate will possess strong quantitative skills, coding expertise in Python and SQL, and the ability to communicate complex model risk themes effectively. Join a dynamic team where your contributions will significantly impact the organization's risk management practices and drive excellence in model performance monitoring.

Qualifications

• 6+ years in risk analytics or 10+ years with a high school diploma.
• Strong coding skills and ability to communicate complex themes.

Responsibilities

• Write Python and SQL code to replicate model development and ETL activities.
• Independently write model validation reports and memos.

Skills

Python

SQL

Risk Analytics

Quantitative Analysis

Model Validation

Stochastic Processes

Meeting Management

Education

Bachelor's Degree

Master’s Degree

Doctoral Degree

Tools

VS Code

PyCharm

Git

Job description

Overview

First Citizens Bank is expanding and strengthening its Model Risk Management function. In doing so we are seeking highly skilled quants to drive high-quality model risk management activities.

The Senior Risk Analyst is a senior contributor role within the Model Risk Management team. A Senior Risk Analyst will partner with a portfolio of business lines to lead the execution of bank-wide model risk management activities. This is a key role that includes both establishing business relationships with the lines of business, and providing important quantitative evaluation, review, and challenge of the business models. The Senior Risk Analyst has a broad portfolio of responsibilities including model governance, model validation activities, and model performance monitoring, all in conformance with industry best practices and regulatory guidance.

The review includes:

• reading model documentation,
• organizing the model’s key structural themes,
• replicating model development steps,
• conducting highly detailed independent data analysis from data source systems,
• evaluating the model’s conceptual soundness within the context of data, intended purpose, modeling alternatives, and industry practice,
• and maintenance of model risk reporting and maintenance of the model inventory.

The Senior Risk Analyst will assess model risks and limitations, make recommendations to model owners, and track the remediation of ongoing model risk issues. The Senior Risk Analyst will provide guidance and mentorship to less experienced associates within the team.

The team is expanding and there are multiple newly created positions. This position is specifically for the Derivatives Team, which covers the following modeling efforts:

• derivatives valuation, including risk-neutral and adjustments such as for counterparty credit risk, and Greeks,
• supporting market risk models such as value-at-risk and expected shortfall, and counterparty-credit risk capital models such as potential future exposures,
• and interest-rate curve building.

Responsibilities

• Responsibilities in this role include, but are not limited to the following:

  • Analysis:
  • Write Python code to independently replicate the end-to-end model development activities
  • Update Python script utilizing the VS Code/PyCharm IDE and Git bash for version control
  • Write SQL code to independently replicate data Extract, Transform, Load (ETL) activities pertaining to the model’s data set from source data systems.
  • Assess model documentation for completeness,
  • Assess model conceptual soundness given data, intended purpose, regulatory expectations, and industry practice, and
  • Independently replicate the end-to-end model development activities (for example in developing challenger models in Python, C++, etc.).
  • Reporting:
  • independently write model validation reports,
  • independently write model validation memos pertaining to model risk management issue management,
  • and report regularly to the Model Risk Manager on the status of model risk management activities.
  • Relationship Development – Develops and maintains effective partnerships with the model analysts, model owners, and business level risk management teams and auditors (internal and external).
  • Business Support – Partner with the lines of business to establish an accurate model inventory as well as support the lines of business in their responsibilities towards the model inventory including attestation, issue management, ongoing monitoring, and annual review of models in the inventory.

Qualifications

Bachelor's Degree and 6 years of experience in risk analytics OR High School Diploma or GED and 10 years of experience in risk analytics.

Preferred Qualifications:

Master’s (MS/MSc) or Doctoral (PhD) Degree with a quantitative focus – such as mathematics, physics, statistics, engineering, or operations research.

Strong quantitative skills specific to derivatives modeling – such as probability theory and stochastic processes, stochastic differential equations, partial differential equations, numerical analysis, and optimization theory.

Strong coding skills and the ability to independently construct a broad range of model and data exercises.

Strong writing skills and the ability to independently communicate technical and model risk management themes to a wide variety of stakeholders.

Strong meeting management skills – such as the ability to construct a meeting agenda, prepare meeting artifacts such as organizing slides, and the ability to effectively lead a meeting with senior line of business stakeholders, with an emphasis on clear communication, strong presence, and intellectual command over the meeting’s objectives, order, and desired outcomes.