Sr. Model Validation Analyst
Compensation: $67,150.00 - $115,990.00 /year *
Employment Type: Full-Time
Industry: Advertising/Marketing/Public Relations
The Auto Club Group (ACG) provides membership, travel, insurance and financial services offerings to approximately 9 million members and customers across 11 states and 2 U.S. territories through the AAA, Meemic and Fremont brands. ACG belongs to the national AAA federation and is the second largest AAA club in North America.
Primary Duties and Responsibilities:
- Conducts model validation to help identify, measure, and mitigate Model Risk.
- Reviews models, analyses complex model risk, and assesses appropriateness of risk measurement and reserve methodologies across lines of business.
- Ensures that models are used appropriately in the business context and that model users are aware of the models strengths and limitations and how these can impact their decisions.
- Evaluates conceptual soundness of model specification; reasonableness of assumptions and reliability of inputs; completeness of testing performed to support the correctness of the implementation; robustness of numerical aspects; suitability and comprehensiveness of performance metrics and risk measures associated with use of model.
- Performs model risk measurement: design and implement experiments to measure the potential impact of model limitations, parameter estimation error or deviations from model assumptions; compare model outputs with empirical evidence and/or outputs from model benchmarks.
- Verifies proper execution of the model.
- Conducts reviews in accordance with supervisory guidance on model risk management (OCC 2011-12 / FRB SR 11-7) as well as other applicable internal and regulatory guidelines and procedures.
- Keeps updated with and utilizes industry best practices and advanced modeling techniques, supplemented by expert judgment and qualitative evaluation, to facilitate a program of validation and independent review that meets the requirements and framework as defined by regulation and policy to provide credible independent challenge.
- Able to relate complex financial theory and models to the changing economic environment, and must be able to understand the limitations of models based on historical experience.
- Ability to operate independently with minimal oversight and manage multiple deliverables in parallel.
- Ability to liaise with the Lines of Business, Finance and Risk professionals and lead regulatory engagements.
- Complete other responsibilities as assigned.
- Familiarity with SR 11-07, Basel rules and the broader regulatory environment are a plus.
Knowledge and Skills:
Works in a temperature-controlled office environment.Qualifications
- Master s degree in business, mathematics, statistics, industrial engineering, or operations research related fields
- Minimum of 6 years of development and/or validation experience with empirical models
Knowledge and Skills:
- Deep understanding of probability theory, econometrics, statistics, and numerical methods.
- Analytical and problem solving abilities.
- Communication skills both written and oral.
- Ability to ask right questions, identify the big picture risks and escalate issues.
- Experience with one or more programming languages/statistical (e.g. SAS, Python, R) software.
- Knowledge of complex financial risk modeling and analysis
The Auto Club Group offers a competitive compensation and benefits package including a base salary with performance based incentives; medical/dental/vision insurance, 401(k), generous time off, a complimentary AAA Membership and much more!
Important Note: The above statements describe the principal and essential functions, but not all functions that may be inherent in the job. This job requires the ability to perform duties contained in the job description for this position, including, but not limited to, the above requirements. Reasonable accommodations will be made for otherwise qualified applicants, as needed, to enable them to fulfill these requirements.
The Auto Club Group, and all of its affiliated companies, is an equal opportunity/affirmative action employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, gender identity, sexual orientation, national origin, disability or protected veteran status.Job Requirements:* The salary listed in the header is an estimate based on salary data for similar jobs in the same area. Salary or compensation data found in the job description is accurate.
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