Model Validation Risk Analyst III

Trustmark National Bank
6 June 2023
Jackson, Hinds County


The primary purpose of this position is to assist the Model Risk Manager with model governance and validation of models used throughout the organization. This person must be able to fully analyze and critique models, understand their application, identify and evaluate assumptions, conduct necessary testing, and report on their findings. This position serves as an associate in the Model Risk Management (MRM) Office which reports to the CRO through the Enterprise Risk Management (ERM) Department. In addition to the MRM requirements, this position would assist with SOX, ERM, and other risk management regulatory monitoring activities as needed. - Assist management in the Model Risk Assessment process to determine the nature and extent of the Model Validation procedures to be performed for each model - Ensure the model inventory is complete and accurate - Ensure the documentation of all models is current and in line with documentation standards - Perform and document independent model testing and validation including: - Evaluation of framework, conceptual soundness, methodology, and developmental evidence - Assessment of input data quality and assumptions - Testing of processing components including the mathematical calculations built into the design of the model - Assessing the model's effectiveness through various tests (e.g., model replication, benchmarking, back testing, sensitivity analysis, stress testing, etc.) - Assessing the model's output for relevance and reasonableness - Demonstrating that the model is robust and stable - Assessing potential limitations - Evaluating the model's behavior over a range of input values - Evaluating the model and determining appropriate findings with recommendation to remediate finding - Based on the results of model validations, prepare model validation reports to be presented to the Enterprise and Operational Risk Committee (EORC) and ERM Board Committee - Work with model owners throughout the organization to provide oversight and guidance in all areas of MRM, including assistance in the resolution of validation findings - Assist in the development, implementation, communication, and management of model governance, policies, and procedures - Assist the Manager of MRM with other risk management projects and regulatory monitoring activities as needed - Perform additional duties as assigned. - Four-year degree in a quantitative field such as Statistics, Economics, Finance, MIS, Engineering, or a related discipline - Two (2) years of relevant work experience in model validation, model development, and/or quantitative analysis - Two (2) years of experience with statistical software packages such as SAS, Python, or R - Advanced knowledge of financial modeling techniques and theories - In-depth knowledge of Artificial Intelligence/Machine Learning techniques - In-depth knowledge of system implementation process - Proficient with Microsoft Office applications with an emphasis on MS Excel - Basic understanding of internal control theories and principles - Familiarity with the regulatory guidance related to Model Risk Management, including OCC 2011 - 12 - Supervisory Guidance on Model Risk Management, Federal Reserve SR 11 - 7 - Guidance on Model Risk Management, and 2021 OCC Comptroller Handbook on Model Risk Management - Strong knowledge of financial principles and regulatory compliance issues related to the banking industry - Excellent analytical skills and ability to apply critical thinking skills relative to model validation - Strong written and verbal communication skills - Attention to detail and process orientation - Comfortable working with large amounts of data - Ability to work well under pressure and balance multiple priorities - Master's degree in a quantitative field preferred - Experience in stress testing, interest rate risk, and/or credit risk models preferred ID: 2023-16046 Job Grade: 13 FLSA Status: Exempt External Company Name: Trustmark National Bank External Company URL: Street: 248 E. Capitol St


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