Risk Analyst III - AI/Machine Learning Model Validation
Company: First Citizens Bank
Location: Knightdale
Posted on: May 3, 2024
Job Description:
Overview: This position is within First Citizens Bank's Model
Risk Management (MRM) team, with a primary focus on conducting
validations for the bank's models used for credit risk rating,
marketing, and wealth management. Our team encompasses a diverse
range of models, including both traditional statistical models and
AI machine learning models.The analyst will collaborate with
validation manager to conduct independent model validations for one
or more specific areas based on their background and expertise. The
primary objective is to verify that models are performing as
expected and aligning with their design objectives and business use
cases while identifying potential limitations and assumptions and
assessing their potential impact. This role provides an excellent
opportunity for the analyst to rotate within the team, gaining a
comprehensive and holistic understanding of the bank's model risk
management framework. *This position can work remote from anywhere
within the United States. Responsibilities: Comprehensive Model
Validation: Conduct thorough and comprehensive validations of
various model components, ensuring that they are accurate,
reliable, and aligned with the intended business objectives and
regulatory requirements. This includes but is not limited to:
Model Inputs Analysis: Apply data
analysis techniques to assess the quality, integrity, and
appropriateness of data used in the models. Examine data
extraction, cleaning, transformation processes, and evaluate
data-related assumptions and limitations.Model Framework
Evaluation: Scrutinize the model design and construction, verifying
the suitability of the modeling framework and theory for the
intended use. Review model segmentation, variable selection, model
testing procedures, and evaluation model assumptions, limitations,
and risks.Model Code Review: Review model code to ensure
correctness, accuracy, and absence of material errors. Collaborate
with model developers to address any identified issues.Outcomes
Analysis: Assess both in-sample and out-of-sample back test
results; evaluate sensitivity and scenario testing, and
quantitative and business performance metrics.Risk Identification
and Mitigation: Provide effective challenges and identify potential
model risks. Recommend appropriate mitigation measures and
enhancements to improve model quality and compliance with
regulatory standards.Documentation and Reporting: Produce
high-quality, comprehensive validation reports that clearly
communicate findings, recommendations, and potential risks to both
technical and non-technical stakeholders. Ensure that validation
documentation adheres to internal standards.Audit and Regulatory
Review Support: Assist model validation manager in gathering and
providing materials requested by internal audit and regulators,
drafting responses to questions, and defending validations in
exams.Continuous Learning and Improvement: Stay up-to-date with
emerging trends and best practices in model validation and
regulatory requirements. Contribute to the enhancement of the model
validation framework by suggesting process improvements and
implementing industry-leading methodologies. Qualifications:
Bachelor's Degree and 2 years of
experience in Risk Analytics or Analytics OR High School Diploma or
GED and 6 years of experience in Risk Analytics or
AnalyticsPreferred Qualifications:
- Advanced degree (Master's or Ph.D.) in a quantitative field
(e.g., Mathematics, Statistics, Computer Science, Data Science,
Finance, Economics, Physics, Engineering, or a related
discipline).
- Experience in model development, model validation, or model
implementation within the financial industry. Proficiency in
statistical methods (e.g., linear regression, logistic regression,
survival analysis, ARIMA), AI/machine learning techniques (e.g.,
Random Forest, XGboost, Clustering, Neural Network, NLP, Image
Recognition) and programming languages (e.g., Python, R, SAS,
SQL).
- Strong understanding of regulatory requirements: SR 11-7/
FIL-22-2017 and SR 15-19.
- Excellent problem-solving skills, attention to detail, and
ability to work both independently and collaboratively within a
team.
- Excellent written and verbal communication skills.The base pay
for this position is relative to your experience but the range is
generally $88,800-$153,920 per year. First Citizens offers a
competitive, comprehensive benefits program which you can review
here: https://jobs.firstcitizens.com/benefits.
Keywords: First Citizens Bank, Danville , Risk Analyst III - AI/Machine Learning Model Validation, Professions , Knightdale, Virginia
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