Senior Model Risk Management Analyst
Who We Are More than 30 years ago, E*TRADE pioneered the online brokerage industry by executing the first-ever electronic individual investor trade. While the landscape of our industry has changed dramatically, our culture of innovation and drive to make online trading accessible to everyone continues to drive us forward. We believe in challenging the status quo, fostering an environment of curiosity and learning, and, above all, putting our customers first.
About the Role SUMMARY
A Sr. Model Validator in the Model Risk Management Group will execute tasks contributing to model validations projects on a variety of models employed in the banking, brokerage and wealth management areas. At E*TRADE, models are used for managing interest rate, market, margin, credit and operational risks; valuing securities portfolios and financial instruments; monitoring customer activities for fraud and anti-money laundering; providing analytical tools and retirement planning advisory services to clients; and analyzing opportunities for marketing campaigns.
The Model Risk Management Group (MRMG) staff have the opportunity to work with leaders in multiple critical business domains and apply analytical skills to assess and enhance model risk management processes across the company.
- Lead and perform end-to-end validations of a variety of models employed at E*TRADE. End-to-end validations involve identifying the key risks associated with a model, planning a risk-based validation approach and scope, designing and conducting validation tests, recognizing gaps in model risk management and governance, and drafting a model validation report. Some key requirements for an effective independent model validation are.
- Understanding the business area and function that uses the model, and the impact of the model output on the business decisions.
- Testing inputs, implications of assumptions, framework, methodology, outputs, usage, performance, implementation, execution controls and limitations of the model being validated;
- Assessing model risk governance through review of model documentation, and business policy and procedure.
- Forming conclusions the propriety of the model for its intended use(s) and model governance based on the analysis as outlined above.
- Preparing a model validation report that details the validation scope, testing approach, test results, findings and conclusions.
- Track the resolution and remediation of validation findings.
- Track the ongoing performance of models and report observations to management.
- Perform periodic model assessments and classifications.
- Advanced degree in Finance, Econometrics, Mathematics, or Engineering Sciences; Degree or certifications in data science is a plus;
- 3 to 5+ years' experience in validating or developing models . NOTE: Experience with 1) machine learning techniques; 2) pricing/ valuation/ risk management of structured products, term structure of interest rate models, and PPNR models; or 3) Anti-Money Laundering (AML) and fraud models is a PLUS.
- Experience performing statistical, econometric, or quantitative analysis with large datasets;
- MUST have relevant work experience*
- Prior work experience in financial services and banking sector;
- Advanced skills in one or more of the following statistical software packages: MATLAB, VBA, SAS, R, and text parsing languages: PERL, Python;
- Understanding of OCC 2011-12 and SR 11-7 guidance on model risk management;
- Ability to work effectively in a high pressure, fast paced environment with multiple deadlines and competing priorities;
- Demonstrable ability to produce clear, concise work products (e.g., reports, white papers, published articles, presentations); and
- Ability to be curious, willingness to ask questions, resourcefulness and perseverance to pursue and obtain answers, and creativity to think outside-the-box.