Senior Model Risk & Validation Lead

Mercury; California; Hybrid; USD 143,000 - 161,000; Full time

Job summary

Mercury is seeking a Model Risk Manager to build and operate a risk-based program across credit underwriting, fraud, BSA/AML, CECL, finance, liquidity, pricing, and operational processes. The role combines technical analysis with regulatory expectations and business context, conducting validations and challenging assumptions.

You will collaborate across Risk Ops, Data, Engineering, Product, Finance, Compliance, and Internal Audit to ensure models are used safely and effectively in Mercury’s

Qualifications

• 5+ years of relevant experience in model validation, model development, quantitative risk analytics, or a related discipline within banking, fintech, financial services, or consulting.
• Bachelor’s degree in Statistics, Mathematics, Physics, Computer Science, Engineering, Financial Engineering or a related field. Master’s degree or PhD is preferred.
• Strong knowledge of model risk management principles and current regulatory expectations, including the revised interagency guidance reflected in SR 26-2.
• Intensive experience validating or developing models in one or more areas such as BSA/AML, fraud, financial forecasting, CECL, capital, liquidity, and credit underwriting, using one or more methodologies such as machine learning (e.g., XGBoost, random forests), scorecards, complex vendor models (e.g., Alloy, Firco), and complex spreadsheet-based models.
• Proficiency with SQL and Python (from a data analytics lens); comfortable building understanding of models independently of their developers through collecting evidence and data analytics.
• Strong written and verbal communication skills; you can explain model risk to a data scientist and to a regulator, or translate your findings and recommendations to guidance for the 1LOD product/business teams, and use different language for each.
• Exceptional attention to detail across documentation, code base, testing artifacts and quantitative analysis provided by 1LOD.
• Sound judgment and a practical, risk-based mindset: you can distinguish significant model risk from lower-risk matters and have the confidence to challenge model owners constructively, including senior stakeholders.
• High ownership, intellectual curiosity, and comfort building processes in a fast evolving environment, where priorities evolve quickly, new ad hoc requests emerge regularly, and role boundaries are intentionally broad.

Responsibilities

• Perform independent validations and reviews of internally developed and third-party models across areas such as credit, fraud, BSA/AML, CECL, finance, liquidity, pricing, and operational risk.
• Evaluate each model’s methodology, assumptions, data quality and lineage, implementation, and performance through reviews and testings such as outcomes analysis, benchmarking, back-testing, and sensitivity testing scaled to its risk and materiality.
• Provide credible and constructive challenges to model developers, owners, and users while maintaining effective working relationships with 1LOD.
• Assess model risk and materiality based on a model’s inherent risk, purpose, exposure, use, and potential impact.
• Help maintain a complete and accurate model inventory, including model ownership, risk rating, dependencies, limitations, validation status, monitoring requirements, and open issues.
• Review ongoing monitoring plans and results, including performance thresholds, overrides, data drift, model changes, and conditions that could make a model no longer fit for purpose.
• Evaluate vendor models and other third-party analytical products, including available documentation, transparency, performance, limitations, customization, and Mercury’s ability to monitor and control their use.
• Document validation conclusions clearly, identify issues, recommend proportionate remediation, and track findings through resolution.
• Support controlled model use when validation cannot be completed before implementation by helping establish appropriate limitations, compensating controls, monitoring, and approvals.
• Develop clear reporting on model risk, validation coverage, performance concerns, concentrations, dependencies, exceptions, and overdue remediation for management and governance committees.
• Help improve Mercury’s Model Risk Management Policy, standards, procedures, and templates.
• Use automation and analytical tools to make model inventory management, testing, monitoring, and reporting more efficient.
• Partner with Mercury’s Data and AI Governance teams to establish clear boundaries and handoffs between traditional model risk management and the governance of generative AI, agentic AI, and other analytical systems outside the formal model definition.
• Support regulatory examinations, Internal Audit reviews, and other assurance activities involving model risk.

Job description

Mercury is seeking a Model Risk Manager to build and operate a risk-based program across credit underwriting, fraud, BSA/AML, CECL, finance, liquidity, pricing, and operational processes. The role combines technical analysis with regulatory expectations and business context, conducting validations and challenging assumptions.

You will collaborate across Risk Ops, Data, Engineering, Product, Finance, Compliance, and Internal Audit to ensure models are used safely and effectively in Mercury’s