Model Risk Senior Analyst – Validation

Location: New York, NY; requires in-office work four days every week

Salary: $155,471.50–$165,471.50 per year

Company

M&T Bank is a banking organization managing financial, risk, and business decision-making models.

What you will do

• Conduct independent reviews and validations of models used for capital stress testing, risk measurement, prediction, pricing, profitability, credit loss forecasting, wealth management, marketing, compliance, and management decision-making.
• Evaluate theoretical foundations, performance, monitoring, assumptions, implementation, and compliance with SR 11-07.
• Use SAS, SQL, Python, R, and Excel to extract and analyze source-system data, assess data quality, and support model validation.
• Review remediation of validation findings and confirm that appropriate controls and documentation are in place.
• Prepare validation reports and memoranda describing the work performed, effective challenges, gaps, and findings.
• Coordinate with Credit Risk, Finance, Treasury, internal and external stakeholders, auditors, regulators, and vendors while tracking validation activities.

Requirements

• Master’s degree or foreign equivalent in Mathematics, Statistics, Quantitative Finance, Economics, or a related field.
• At least five years of relevant experience in model validation, model risk management, model development, or a related occupation.
• Five years of experience validating credit or liquidity models and working with regulatory capital stress-testing requirements.
• Five years of experience evaluating model performance and fit for stress-testing use with economic-factor shocks, independent variables, and stress scenarios.
• Five years of experience building and assessing logistic regression, linear regression, and time-series models.
• Five years of experience using SQL, SAS, and Python for data extraction, analysis, parameter estimation, and model-performance assessment.

Culture & Benefits

• Full-time employment in an in-office setting four days per week.
• Regular collaboration with business lines and support functions to manage model risk.
• Responsibility for maintaining internal control standards and addressing audit and regulatory issues.