Model Risk Analyst

Title: Sr. OR Jr. Model Risk Analyst

Location: 3 days/week onsite at 8250 Woodfield Crossing Blvd., Indianapolis, Indiana 46240

Duration: Permanent, direct hire

Shift/Hours: M-F 8am-5pm

Salary Range: $80,000-130,000 bonus structure. Base salary dependent on year of experience

Must-Haves:

• Bachelors or Masters in Math Finance, Computational finance, Quantitative finance or another related field
• 0-5 years of experience within a relevant work environment such as model risk management, predictive modeling, financial modeling, optimization, or data science
• Quantitative analysis/quantitative finance experience
• --For the Jr. position - could be open to someone entry level out of school ideally with some internship experience

Plusses:

• Experience scripting with python, R, Julia, or Matlab
• Experience working with SQL

About the Role:

Insight Global is looking for a Model Risk Analyst to support one of our largest financial services clients in Indianapolis. This person will be a contributor in the Enterprise Model Risk department.

They will be contributing to the production, validation, and use of financial models within the organization. This person will perform model validations for various types of financial models, including credit risk, interest rate derivative valuation, mortgage prepayment/default, and asset-liability management models. This will include performing quantitative analyses and tests, assessing model theory, backtesting, benchmarking, stress testing, scenario analysis, and assessing the effectiveness and sufficiency of model controls and documentation. This person should have a strong mathematics/statistics background and should be very comfortable working with fixed income, mortgages and should have a strong understanding of financial markets.

This person will be helping validate current financial models using alternative data, doing model logic, working with code, working with macroeconomic data and business owner data, and producing technical documentation over reports/models they have analyzed. The incumbent will interact with model owners and model users across the Bank to understand current model performance, development activities, and emerging risks. This person will also assist in other model risk management activities, such as maintaining the Bank’s model inventory, tracking outstanding model validation findings, and generating periodic model risk-related reports for relevant committees and stakeholders.

Key Responsibilities:

• Perform model validations for various types of financial models, including credit risk, interest rate derivative valuation, mortgage prepayment/default, and asset-liability management models. This will include performing quantitative analyses and tests, assessing model theory, backtesting, benchmarking, stress testing, scenario analysis, and assessing the effectiveness and sufficiency of model controls and documentation.
• Generate validation reports or memos detailing the validation approach, analyses conducted, and conclusion of the validation. Present findings and recommendations to model owners/users.
• Review model changes, assess model change significance, and conduct limited-scope validations for model changes as necessary.
• Develop benchmarking models and data analytical tools, including machine learning models for validation and model performance monitoring purposes.
• Provide independent opinions on various modeling and model validation issues.
• Manage third-party model validation.
• Participate in audit and regulatory exams and assist in the remediation of audit and regulatory exam findings.
• Perform annual and ad-hoc model reviews and quarterly model performance reviews.
• Assist in other model risk management activities, such as maintaining the Bank’s model inventory, tracking outstanding model validation findings, and generating periodic model risk-related reports for relevant committees and stakeholders.
• Conduct research and analysis to maintain knowledge of modeling best practices, model validation techniques, and current financial market information.