Model Risk Officer

Model Risk Officer would be expected to have a firm understanding of Model Risk best practices as defined by the industry, FHFA's advisory bulletins, and the Bank's own Model Risk governance. Model Risk Officer would be expected to expand their expertise among a wide variety of the Bank's models regardless of previous specialty.

Essential Job Function:

• Perform annual reviews and validations of Bank significant and mission-critical models as well as validation of significant changes to these models.

• Participate in Modeling, Risk Management, Bank-wide and System-Wide projects and initiatives.

• Perform independent assessments of market and credit risk exposures.

• Screen and evaluate market information and pricing methodologies used among the Bank financial models and reporting systems.

• Serve as Model Risk Management's contact with Model Owners

• Perform reviews for non-mission critical models and EUCs as directed.

Other Duties:

• Serve as Backup for Derivatives Fair Value, curve verification, prepayment reporting and derivatives analysis requests, as necessary.

• Serve as Backup for Investment Fair Value monthly pricing.

• Identify opportunities to improve process and procedures towards industry best practice and regulatory requirements such as FHFA AB 2013-07 and FHFA AB 2022-03.

Skills:

Quantitative, analytic skills, able to use industry software's such as Bloomberg, Mortgage Product software, derivative software, Microsoft office products, programming such as python.

Experience:

More than 7 years' experience worked in financial industry with fixed-income products and securities, interest rate derivatives, mortgage pricing and credit, and financial entity rating as a focus.

Education:

MA or above in finance, mathematics, science or engineering required.

Salary:

$160,000 - $180,000

Skills: