The Model Risk group is responsible for model templates, documentation and review/validation for Retail, Fraud/AML, pricing, Mortgage, Basel 2, CCAR, ICAAP, monthly and quarterly SOX meetings, Basel model requirements, including independent review and control review reports, Basel issues reports, Basel QRD and associated documents in regard to Basel Rule requirements, OCC Exam Materials due on demand and /or for scheduled exams throughout the year, OCC project plan tasks and associated deliverables. Also, responsible for review and validation of Market Risk/VAR models, ALM and Capital Markets models, Ops Risk models, Allowance models, Resi & Commercial Serving Rights models,AMG models, including assessment of conceptual design, methodologies, data, testing, supporting documentation, monitoring, implementation and model templates, documentation and review/validation for retail and wholesale Basel 2, CCAR, ICAAP, AML. Position Overview
The Successful Candidate:
Education, Skills and Experience
- Understands the conceptual framework and assumptions and how they are used in the business decision - making process.
- Collects data and information used in the models and meets with model developers in preparation for reviews
- Conducts robust and comprehensive model review testing and analysis in accordance with PNC MRMG's review procedures and lifecycle standards. Ongoing communication with model owners and model developers during the course of the review.
- Assesses model risks and reaches conclusions on strengths and limitations of the model. Writes the review of the model using MRMG templates and organizes distribution of the review and issues with Model Governance and Model Owners.
- Reviews issues for models in a timely manner and works with model owners toward resolution.
- Contributes to best practices and the overall infrastructure within MRMG.
- Develops and builds competing models.
- Interacts with Executives and Regulators to discuss model risks and issues.
- Contributes to strategic priorities by identifying duplication of effort Education, skills and experience
- Roles at this level typically require a university / college degree, with a major in Economics, Statistics / Applied Mathematics, or Quantitative Finance.
- A graduate degree, such as a PhD, is desirable.
- 10 years relevant experience in Customer Service, Administrative, Risk Management, Credit Support, or Compliance required.
- Certifications such as FRM, CFA, and/or CPA not required but desirable.