Senior Model Validation Analyst
Senior Model Validation Analyst
FEDERAL HOME LOAN BANK OF SEATTLE
If you're interested in making a difference at work AND working to make a difference, think about joining the Federal Home Loan Bank of Seattle.
The Seattle Bank makes our communities better places to work and live by providing funding products to its nearly 400 financial institution members -- and by contributing 10% of its annual net profits to affordable housing and community economic development.
A $50 billion institution, the Seattle Bank is one of 12 Federal Home Loan Banks located across the US.
Senior Model Validation Analyst
This position enhances the Bank’s model risk management processes by providing technical expertise and carrying out independent model validations. Responsible for quantitative review and analysis of models, including theoretical review, assessment of appropriateness for the model purpose, implementation testing, independent validation, and valuation benchmarking. This position analyzes the theoretical soundness, development, operational practices, documentation, of models and identifies and reports on material limitations of all mission critical and other significant models employed by the bank. Specific responsibilities include the execution of model reviews and validations in accordance with regulations, policies, and procedures of the Bank, the Federal Housing Finance Agency (FHFA) and industry best practice.
Responsibilities include:
- Conducts model review and validation at the bank for mission critical models and other key models as determined by the bank’s policy and procedures. Validations are performed in accordance with industry standards and practices, internal policy and regulatory standards such as OCC 2011-12 and FHFA 2009-AB-03.
- Analyze and evaluate the selection of assumptions, parameters, methodologies and theoretical soundness of models under validation based upon the incumbent’s quantitative skills and experience in working with models.
- Conduct valuation benchmarking either using internal models or coordinate with external vendors or other FHLBs.
- Prepares reports on model validation results and activities for the Model Risk Oversight Sub-Committee and other committees, as appropriate.
- Tracks, evaluates, and validates for appropriateness all required remediation of identified model risk issues and concludes on the adequacy of remediation.
- Implements an internal model testing function to support review and recommendation of independent model validation frequency.
- Accesses available information sources including market data sources, practitioner, academic, auditing, and regulatory literature and utilizes industry experts to remain abreast of best practices with respect to model risk management and validation.
- Maintain good communication and cooperation with model owners, model vendors, and model validation vendors, other FHLBs, FHFA regulators and public accountants. Performs her Duties as assigned
We offer a rich compensation package, including competitive wages, comprehensive health benefits for employee, three weeks’ vacation, 401K, and a business casual environment as well as other benefits. Qualified candidates should direct resume and cover letter to:
Recruiter1, Federal Home Loan Bank of Seattle
1501 Fourth Avenue Suite 1800
Seattle, WA, 98101-1693.
Or E-Mail: Senior Model Validation Analyst Requirements:
Qualified candidates will have a Master/PhD with 3 years of work experience in the financial services industry with concentration in market risk, credit risk, operational risk management or trading analytical support or a BS with 5 years of model validation/finance experience or an equivalent combination of education and experience from which comparable knowledge and skills may be acquired.
Programming skill and statistical analysis background is required. Experience with computational finance tools and statistical analysis packages is preferred (e.g., SAS, R, Matlab, Polypaths, QRM etc.)
Demonstrated mathematical aptitude is required with experience in fixed income securities and interest rate derivatives desirable. Ability to grasp fixed income mathematics and stochastic processes and simulation analysis is required. Understanding of credit risk analysis and concepts is desirable.
Prior knowledge and understanding of term structure models, mortgage prepayment models, credit risk model, distribution models, portfolio attribution, and option pricing is preferred.
Superior analytical and written communication skills are required. Position requires direct interaction with model owners, model vendors, external model validators, other FHLBs, FHFA regulators and public accountants. Self-starter who is able to identify and evaluate model limitations.
