[Hiring] Senior Model Risk Management Analyst @First Citizens Bank

Role Description

This is a remote role that may be hired in several markets across the United States. Be part of the Model Risk Management (MRM) team, with a primary focus on conducting validations for the bank's CCAR stress testing and capital planning models. The team encompasses a diverse range of models, including:

• Credit Risk models (PD, LGD, EAD, and loss forecasting)
• PPNR and ALM models (loan balance, deposit balance, net interest income, non-interest income, and non-interest expense)
• Moody’s Economics models
• Operational loss models

Collaborate with validation manager to conduct independent model validations for one or more specific areas based on background and expertise. Responsibilities include:

• Verifying that models are performing as expected and aligning with their design objectives and business use cases while identifying potential limitations and assumptions and assessing their potential impact.
• Conducting thorough and comprehensive validations of various model components, ensuring accuracy, reliability, and alignment with intended business objectives and regulatory requirements.
• Applying data analysis techniques to assess the quality, integrity, and appropriateness of data used in the models.
• Examining data extraction, cleaning, transformation processes, and evaluating data-related assumptions and limitations.
• Scrutinizing the model design and construction, verifying the suitability of the modeling framework and theory for the intended use.
• Reviewing model segmentation, variable selection, model testing procedures, and evaluation model assumptions, limitations, and risks.
• Reviewing model code to ensure correctness, accuracy, and absence of material errors.
• Collaborating with model developers to address any identified issues.
• Assessing both in-sample and out-of-sample back test results; evaluating sensitivity and scenario testing, stress testing, benchmark model development, and quantitative and business performance metrics.
• Providing effective challenges and identifying potential model risks.
• Recommending appropriate mitigation measures and enhancements to improve model quality and compliance with regulatory standards.
• Producing high-quality, comprehensive validation reports that clearly communicate findings, recommendations, and potential risks to both technical and nontechnical stakeholders.
• Ensuring that validation documentation adheres to internal standards.
• Assisting model validation manager in gathering and providing materials requested by internal audit and regulators, drafting responses to questions, and defending validations in exams.
• Staying up-to-date with emerging trends and best practices in model validation and regulatory requirements.
• Contributing to the enhancement of the model validation framework by suggesting process improvements and implementing industry-leading methodologies.

Qualifications

• Master’s degree in Mathematics, Statistics, Finance, Economics, Physics, Engineering, Data Science, or a related field.
• Five (5) years of experience in the job offered or as a Model Validator, Risk Analytics, Analytics, Risk Management, or related occupation.
• Extensive experience in building or validating statistical, machine-learning models for retail and commercial banking portfolios (PD, LGD, EAD, CECL, stress-testing, capital forecasting, physical- and transition-risk scenarios).
• Hands-on experience with the full model-risk-management life cycle: requirements gathering, data wrangling, model design, benchmarking, back-testing, sensitivity/scenario analysis including NGFS climate pathways, performance monitoring, documentation, and change-control.
• Experience with linear and generalized linear models (OLS, GLM, logistic/probit, Poisson, negative-binomial).
• Experience with survival/hazard models (Cox, competing-risk).
• Experience with time-series and panel-data methods (ARIMA/ARIMAX, VAR, state-space, Kalman filter).
• Experience with multivariate analysis (PCA, factor analysis) and regularization (LASSO, Ridge, Elastic-Net).
• Experience with model discrimination and calibration metrics (AUC/ROC, KS, Gini, Brier, lift/gains).
• Experience with gradient boosting (XGBoost, LightGBM, CatBoost), random forests/bagging, SVM, shallow neural networks.
• Experience with hyper-parameter optimization (grid/Bayesian search), feature-engineering pipelines, model explainability (SHAP, LIME).
• Experience with geospatial techniques to quantify physical-risk exposure.
• Expert coding in SAS (Base, Macro, STAT, ETS), Python (pandas, NumPy, SciPy, scikit-learn, statsmodels), R (data, table, tidyverse, caret), and advanced SQL (window functions, ETL).
• Experience with version-control and CI/CD workflows with Git/GitLab/Azure DevOps; automated unit-testing and peer-review for regulatory traceability.
• Deep familiarity with U.S. model-risk guidance SR 11-7 & OCC 2011-12, CECL accounting standards, CCAR/DFAST stress-testing, and emerging climate-risk supervisory expectations (FRB, OCC, FDIC).
• Experience with translating regulatory and disclosure mandates into testable validation criteria and governance controls.
• Experience with design of data pipelines across large relational databases (Oracle, SQL Server, Teradata) and structured files; exposure to distributed processing (Hive/Spark).
• Experience with development of executive dashboards in Tableau or Power BI to communicate complex model and climate-risk results to non-technical stakeholders.

Requirements

• The base pay for this position is generally between $175,000 to $212,635 per year.
• Actual starting base pay will be determined based on skills, experience, location, and other non-discriminatory factors permitted by law.
• For some roles, total compensation may also include variable incentives, bonuses, benefits, and/or other awards as outlined in the offer of employment.

Benefits

• Competitive, thoughtfully designed and quality benefits program to meet the needs of our associates.
• More information can be found at https://jobs.firstcitizens.com/benefits .

Company Description

This job posting is expected to remain active for 31 days from the initial posting date listed above. If it is necessary to extend this deadline, the posting will remain active as appropriate. Job postings may come down early due to business need or a high volume of applicants.