AVP – Model Validation

AVP – Model Validation

Requirements

• Master’s degree (or foreign equivalent) in Statistics, Mathematics, and +4 years’ experience in model development / model validation experience in the retail section of a U.S. financial services or banking; in lieu of a Master’s degree, 8 years’ experience in model development / model validation experience.
• Strong understanding and application of quantitative analysis methods or approaches in relation to credit loss / reserve / recovery models, CECL, etc.
• Thorough business knowledge and sharp acumen in loss forecasting with comprehensive understanding and strategic insight supporting ACL (Allowance for Credit Losses) and financial / capital planning.
• Strong programming skills with 4+ years’ hands-on and proven experience utilizing Python, Spark, SAS, SQL, AWS, Data Lake to perform statistical analysis and manage complex or large amounts of data 4 years’ experience.

Responsibilities

• Serve as a key contributor to perform full scope model review, annual review, ongoing monitoring model performance etc. for both internally and vendor-developed models, including new and existing, statistical and Machine learning models, particularly in the area of loss forecast, with effective challenges to identify potential issues requiring further investigation, and resolve problems.
• Perform in-depth analyses on model methodologies, assumptions, and performance trends based on large datasets and identify key model risk, limitations and issues for in-house developed models as well as third-party models with proprietary nature.
• Lead and supervise the full scope end-to-end validation for both pre-implementation validation and revalidation and other reviews (annual review, limited scope review, change review, etc.), be held full accountability on the validation quality, and drive the timeline and completion of the projects with minimal guidance from the review manager/supervisors.
• Provide sufficient coaching and guidance to junior team members by offering mentorship, training, and constructive performance. Facilitate continuous improvement by addressing challenges and fostering a supportive team environment.
• Keep pace with the latest model developments and validation practice in academic, regulatory environment and financial services industries to provide technical consultation and process improvement to MRM.
• Provide comprehensive support during regulatory examinations and internal audits of the model validation process by preparing necessary documentation, addressing inquiries and questions, presenting model reviews and assisting in remediation of observations, etc.
• Collaborate and engage with various Synchrony functional teams to uncover, highlight, and identify model risk associated with models. Keep maintenance of relevant model and model validation documentation, perform in-depth analysis and reports to support discussions on key analytics and model risks.
• Support model governance initiatives and perform other duties and/or special projects as assigned.

Preferred Qualifications

• Advanced knowledge of Regulatory requirements for Model Risk Management (SR 11-7, OCC 2011-12, etc), CCAR, etc.
• 5+ years of proven experience in Model Risk Management or model development in the financial services industry including both analytic/modeling/quantitative experience and governance or other credit/financial discipline.
• Solid knowledge and experience of credit loss models such as Loss forecasting (PD/LGD/EAD, CECL, Roll rate, etc), Stress testing, Allowance.
• Solid knowledge in machine learning model techniques.
• Proven experience in people and project management, including demonstrated ability to develop actionable plans to meet high level objectives, strong execution, and timeline sensitive deliverables.
• Sharp focus on accuracy with extreme attention to detail.
• Excellent written and oral communication and presentation skills.