Manager, Quantitative Risk Management

At VyStar, we offer competitive pay, an excellent benefit package that includes a 401(k) Plan, an extensive paid technical and on-the-job training program, and tuition reimbursement--available to all full and part time employees. Part time positions start at a minimum of 30 hours per week.

We encourage you to become a part of VyStar Credit Union's family of employees.

Manager, Quantitative Risk Management

ACCOUNTABILITY STATEMENT

The primary purpose of this position will be part of the Enterprise Risk Management organization, operating in a high-profile and collaborative environment that provides direct contact with senior management and provides thought leadership in model governance throughout the organization. The incumbent works with diverse stakeholders to plan model validation exercises on existing model development documents of varying complexity inclusive of guiding work with emphasis in data acquisition and analysis, statistical modelling and analysis, and contextual analysis in scope of credit union operations and/or the financial sector to ensure model, soundness, validity, and robustness. The incumbent must have and is expected to use a variety of advanced statistical techniques to promote the highest level of model stewardship across VyStar. Statistical techniques may include model selection, regression, cluster analysis, random forest, stochastic simulation, neural network, artificial intelligence (AI), machine learning (ML), and other evolving tools. The incumbent will chair the model governance council and set the model governance agenda in consultation with Enterprise Risk Management leadership.

The incumbent serves as the independent second line quantitative risk modeling arm to support enterprise risk appetite framework, capital planning/allocation and concentration limits setting and all model risk governance functions across the enterprise. This position plays a critical role in maturing VyStar's adoption of advanced quantitative modeling capabilities to quantify and manage risks effectively. This position will also contribute to strengthening VyStar's Model Risk Management (MRM) practice and oversight to ensure safety and soundness.

The credit risk related models include, but are not limited to, enterprise allowance for loan loss reserves/CECL, Capital Planning & Stress Testing models, Economic Capital/Capital Allocation mechanism as well as business unit acquisition and customer management stage underwriting scoring and valuation models. He/she will provide effective challenge where needed and conduct independent risk identification & assessment through AI and ML related models adopted for use within the organization. The candidate is expected to exhibit sound judgment in decision-making and be a strategic and trusted partner/advisor to first line of business.

ESSENTIAL RESPONSIBILITIES

• Provide subject matter expertise in quantitative modeling techniques and mechanism to assess and quantify intrinsic credit risk/unexpected losses, determine economic capital requirement and capital allocation framework to be used for risk-adjusted pricing, performance measurement and other strategic purposes.
• Adopt industry best practice solutions to conduct quantitative modeling on portfolio credit risk including default correlations, concentration risk and diversification benefit to inform enterprise credit risk appetite framework, capital adequacy/allocation and concentration risk limits setting.
• Provide independent assessment and effective challenge across all models within VyStar's ecosystem. This will include ALM models, AI and Reinforcement-based models, Capital Planning and Stress Testing models, economic/stress scenarios, and capital adequacy based on VyStar's risk profile.
• Leverage subject matter expertise to advise quantitative modeling solutions to assess and quantify other key enterprise risk categories, such as Market Risk and Operational Risk as needed.
• Provide independent assessment and effective challenge in relation to Credit Risk Modeling per regulatory and industry adequacy standards.
• Independently identify and assess the sources and magnitude of model risk and recommend actionable enhancements.
• Evaluate soundness of modeling quantitative techniques, in-house or external model validation framework/output, and ongoing model performance monitoring.
• Serve as Chair of VyStar's Model Risk Management Governing Council to work collaboratively with internal modeling community to mature VyStar's Model Risk Management program. Opine on requirements for new models, further enhance the soundness of models in use, and model risk rating framework tailored to model type and use.
• Responsible for managing all model validation engagements across VyStar
• Partner with key stakeholders in various groups across Business Units to identify areas of opportunity and spearhead initiatives.
• Remain abreast of latest developments and best practices in risk quantification, capital planning and risk management arena. Maintain strong working knowledge of model risk management related regulatory requirements/supervisory guidance to ensure adherence.
• This position supervises employees.
• All other duties as assigned (note: essential functions and responsibilities may change, or new ones may be assigned at any time with or without notice).

JOB QUALIFICATOINS

Education & Experience

• Master's Degree or PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, or Quantitative Discipline Equivalent is required.
• Knowledge and experience with SR 11-7, OCC 2011-12, etc.
• 5+ years of proven experience in quantitative modeling, ALM, ALLL/CECL, capital planning and economic capital modeling in financial services industry.
• 3+ years of direct management expertise is required.

Knowledge, Skills, and Abilities

• Knowledge of BASEL Capital Measurement and Capital Standards is preferred.
• Strong understanding of quantitative analysis methods in relation to financial institution and track-record in econometric and machine learning analytics.
• Deep expertise in quantitative methods, algorithms, and statistical techniques as well as programming language as needed.
• Interest in supporting a collaborative working environment to enable well-considered and empirically supported decisions. Ability to partner across business lines and work with a variety of stakeholders.
• Excellent verbal and written communication skills, including ability to summarize key messages for senior management presentations. Ability to explain complex topics simply to a wide variety of audiences.
• Strong organization skills with the ability to multitask, prioritize and work under tight deadlines, whether on independent project work or in conjunction with others on a team.
• Self-motivated with strong interpersonal skills to actively lead and implement ideas in a cross-functional team environment.
• Ability to communicate complex concepts and findings in a clear and concise manner.
• Ability to assist with multiple projects, work in fast-paced environment and meet deadlines Maintains professional composure, objectivity and fairness when dealing with conflict or sensitive matters.
• Ability to travel as needed to successfully perform position responsibilities.
• Excellent ability to rely on experience and judgment to plan and accomplish various goals and objectives and to produce high quality materials within tight timeframes.

CERTIFICATIONS

Certification in CERP, FRM, PRM, CRM, CFA preferred

Disclaimers and Work Environment

Nothing in this position description is an implied contract for employment. The position description is intended to be an accurate account of the essential functions. The functions are not all encompassing and are subject to change at any time by management. The work environment characteristics described are representative of those that an employee encounters while performing the essential functions of this job. Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions. As required or requested, may exert up to 20 pounds of force occasionally and/or a negligible amount of force constantly to lift, carry, push, pull or otherwise move object.

VyStar Credit Union is not seeking outside assistance or accepting unsolicited resumes from staffing agencies or search firms for employment or contractor opportunities. Any resumes submitted by an outside vendor to any employee at VyStar via e-mail, internet, or directly to hiring managers without a valid written search agreement with the Talent Acquisition / HR department will be deemed the sole property of VyStar Credit Union.

No placement fee will be paid if a candidate is hired as a result of the referral, or through other means.

Thank you for your inquiry regarding our current job opening. Your resume will be carefully reviewed against the position requirements. Should your experience and skills match, you will be contacted by one of our Human Resources department staff members.

Thank you again for your interest in this position!

VyStar Credit Union Human Resources