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Model Risk Validation Analyst

Job ID RISK-8739 CityLos Angeles StateCalifornia Exempt/Non ExemptExempt ShiftDay Work ScheduleM-F, 8-5

This position will be responsible for supporting the development and operation of City National Bank's (CNB's) Model Risk Management (MRM) program as prescribed by CNB's Risk Council. Responsibilities include independent validation of mathematical and financial models used in the bank for stress testing and business as usual, ongoing model monitoring evaluation and testing.

Responsibilities:

  • Assist in reviews of bank-wide risk and capital models, including models for CCAR/DFAST stress testing of capital resources, operational risk, PPNR, credit loss models, liquidity stress models and ALM models.
  • Evaluate conceptual soundness of model specifications; 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.
  • Independent validation of capital, impairment, pricing models and scorecards and review of regulatory self-assessment tools across asset classes (retail, wholesale, derivative, asset management).
  • Assess and 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.
  • Document and present observations to manager of the Model Risk Management Unit and to model owners and users, recommend management action plans, and track remediation progress.
  • Monitor model performance reports on an on-going basis to ensure models remain valid, as well as contribute in the bank-wide model risk and control assessment.
  • Support the creation and maintenance of the enterprise-wide model inventory, model control standards, and model risk ranking. Models include those used within the various Business Units for supporting financial reporting, risk management, decision-making, Basel II risk weighted assets calculations, and economic capital estimation.
Basic Qualifications:
  • *Minimum 3 years of quantitative analysis experience in a discipline relevant to risk management to include statistical analysis, modeling, mathematics
  • *Minimum 3 years of experience with model validation or development
  • *Minimum 3 years of experience with analytical tools, such as SAS, R, MATLAB, Python, or EViews.
  • Bachelor's degree (masters preferred) in risk, finance, mathematics, engineering or statistics or related discipline with 3-5 years of consulting or banking experience
  • Advanced degree in finance, economics, statistics or related field (Masters preferred). Industry certifications a plus (e.g., CFA, FRM) preferred
  • Proven track record of strong technical model development, model management, and/or model oversight. Proven knowledge of banking systems and processes, risk management methodologies, and familiar with model validation function.
  • Experience in building or validating multiple types of models in areas such as wholesale credit loss (Commercial Real Estate and Commercial and Industrial Loans) and retail credit loss (Residential Mortgages/HELOCs, Credit Cards, Installment/Personal Loans), operational risk, stress test PPNR (pre provision net revenue) models, etc.
  • Knowledgeable about model risk management and associated regulatory requirements such as OCC 2011-12, Basel II, SR 15-18/19.
  • Strong project management capabilities.
  • Demonstrated ability to think critically and facilitate change through collaborative effort. Strong interpersonal, verbal, and written communication skills.
  • Self-motivation, discipline, task focus, the ability to structure and present work and a proven record of delivering high quality results within strict deadlines.
  • Programming experience with software applications such as SAS, R, SQL, VBA preferred
  • Extensive knowledge and experience with various mathematical models -- Credit Risk (generalized linear regression, survival models), PPNR (financial time series and econometrics) preferred
  • Experience in data management and analysis in Excel and/or SQL, Python, R preferred

*Represents basic qualifications for the position. To be considered for this position you must at least meet the basic qualifications.

City National Bank is an Equal Opportunity/Affirmative Action Employer, Minorities/Females/Individuals with Disabilities/Veterans

Note: This preceding job description has been designed to indicate the general nature and level of work performed by employees within this classification. It is not designed to contain or be interpreted as a comprehensive inventory of all duties, responsibilities, and qualifications required of employees assigned to this job.

Note: Candidates should be advised that City National Bank does not pay interviewee travel expenses or relocation expenses for candidates who are hired unless previously agreed.

*LI-NK1

Equal Opportunity Employer Minorities/Women/Protected Veterans/Disabled
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  • Audit/Risk Management, Los Angeles, California, United StatesRemove