Quantitative Model Risk Analyst

Mechanics Bank is currently searching for a Quantitative Model Risk Analyst to join our team in Irvine, California. Here at Mechanics Bank, we value connection, partnership, long term relationships and working together in person. This role is also open to work on-site at our Roseville location.

The Quantitative Model Risk Analyst assesses and helps mitigate the risk of models used in the context of valuation, risk measurement, and more broadly for decision-making purposes. This position plays a key role in the model annual review process which includes designing and conducting analysis and testing to compare a model's prediction against actual outcomes or against the output of alternative benchmark models; an evaluation of conceptual soundness; and designing and monitoring model performance metrics. In addition, the individual in this role will partner and work closely with model developers and users. In addition to internal business partners, this individual may interface with vendors, auditors and other external parties with respect to statistical models and tools. This position will have exposure to the full range of quantitative modeling activities governed by the Model Governance Framework.

What you will do:

Model Review Process:

• Perform model reviews and validations: analyze conceptual soundness of select models and assess model behavior, risk rating and suitability;
• Develop and implement alternative model benchmarks and compare to outcome of various models; design model performance metrics;
• Evaluate adherence to development policies and standards including soundness of model design, reasonableness of assumptions, reliability of inputs, completeness of testing; correctness of implementation, and suitability of performance metrics;
• Develop on-going testing regimens to ensure that the models function according to expectation over time;
• Liaise with model owners to provide oversight and guidance on model risk and appropriate usage, controls around model restrictions and limitations, and findings for ongoing performance assessments and testing;
• Documents and presents analysis and testing results to model owners and users; recommends management action plans, and tracking remediation progress;
• Works with large, structured and unstructured datasets;
• Develop appropriate monitoring for any new model implementation
• When models deviate from expectations, escalate to business partners, Director of Risk Management, Model Governance or others per the need and severity of the issue
• Periodically (typically, annually) provide written and/or verbal updates on model performance to the Model Governance Committee and obtain approval for continued use
• Support Model risk management tool implementation efforts;
• Work with Mechanics Bank partners to identify model/tool needs
• Conduct analytics including, but not limited to, descriptive statistics, segmentation analysis, linear or logistic regression, scorecard alignment, time series, back-testing, forecasting, etc.
• Present the model and validation/testing results to the Model Governance Committee for approval as needed

Managing Vendors:

• Maintain awareness of the latest tools and data
• Identify and make recommendations to the business with respect to vendor engagements (i.e., regarding tools, data or services that could prove beneficial to the business)
• Help establish goals and expected timelines for those projects
• Solicit proposals
• Support vendors through the course of the engagement, such as providing resources or feedback in a timely manner
• Monitor progress against identified goals and timelines; hold accountable and escalate as necessary when goals, timelines or deliverables are in jeopardy
• Take receipt of deliverables; identify any next steps
• Communicate with business partners, as appropriate

Model Risk Management Governance and Control:

• Identify weaknesses, limitations, and emerging risks through independent testing, building benchmark models where appropriate, and ongoing monitoring activities;
• Assist the Model Governance Committee in maintaining the appropriateness of ongoing model usage and the level of aggregate model risk within risk appetite;
• Assist with driving innovation in risk modeling practices to unlock greater efficiencies and effectiveness;
• Stays current with regulatory and industry developments in model risk management.
• Evaluates and monitors model performance reports on an ongoing basis to ensure models remain valid, as well as contributes to the Bank-wide model risk and control assessment.
• Provides on demand support during regulatory exams of MRM and periodic reviews performed by internal audit.
• Assist Operational Risk Management team in Model Risk Management by reviewing models and providing risk opinions on model assumptions, conceptually soundness, model performance and usage. Conduct periodic reviews on low risk models and EUC tools.

Who you are:

• Minimum of 5 years experience
• Masters Degree preferred
• Thorough understanding of advanced mathematics arising in financial modeling, such as probability theory, time series analysis, statistics, etc.
• Expertise using Microsoft Office package or similar; expertise in Excel and/or PowerPoint required
• Ability to utilize tools like SQL and Excel to create complex tables and graphs
• Thorough knowledge of Model Risk Management and Financial services terminology
• Demonstrated ability to craft professional looking communications for a variety audiences, including C-level executives
• Ability to present technical information clearly to non-technical audiences, both verbally and in writing
• Comfortable speaking in front small to medium-sized groups of business and executive stakeholders
• Extensive experience with sophisticated analytical/statistical/modeling packages like SAS, KnowledgeSeeker, R, Stata, E-views, etc.
• Able to work effectively without direct supervision.
• Able to comprehend and interpret Bank policies and procedures
• 5% of travel is required

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Pay Range: $110,000 - $170,000 Annually

Final compensation package will be determined by the work experience, education, and/or skill level of the applicant along with internal equity and alignment with geographic market data.

• Mechanics Bank is an equal opportunity employer and all qualified applicants will receive consideration for employment without regard to race, color, sex, sexual orientation, religion, national origin, age, genetic information, veteran status, or on the basis of disability, gender identity, sexual orientation or other bases prohibited by applicable law.

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