PenFed Credit Union
- Director, Credit Model Risk
At a glance
Location: US-VA-McLean Map
Posted: 01/01/2022
Closing: 01/31/2022
Degree: Graduate Degree
Type: Full-Time
Experience: At least 5 year(s)
Job description

Are you looking to take your career from good to great? As an employee of PenFed, every day is an opportunity to thrive, and be part of a team working to ensure our organization is providing world class service to our members, employees, and our communities. We exist to help our members realize their full potential, educate and encourage their dreams, and make every effort to follow our mission and help our members “do better.” Joining PenFed is more than being an employee; it’s about being a part of the PenFed family.

 

PenFed is hiring a Director, Credit Model Risk at our Tysons, Virginia location. The primary purpose of this position is to direct the Credit Risk Management Modeling, operating in a high-profile and organizationally flat environment. This position plays a critical role in maturing PenFed’s Model Risk Management (MRM) practice and strengthening MRM oversight to ensure safety and soundness. The Director, Credit Model Risk will contribute to the long-term vision and strategic agenda related to Model/Credit Risk Management.

 

This role serves as the independent second line Model Risk Officer for all credit risk related models and quantitative modeling arm to support enterprise credit risk appetite and concentration limits setting. The credit risk related models include business unit acquisition, customer management stage underwriting scoring, valuation models as well as enterprise allowance for loan loss reserves/CECL, and Capital Planning & Stress Testing models. Model risk rating framework tailored to model type and use for model development, implementation, model documentation, model validation and ongoing model performance monitoring.

Responsibilities

Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions. This is not intended to be an all-inclusive list of job duties and the position will perform other duties as assigned. 

  • Assess and strengthen PenFed’s Model Risk Management (MRM) framework, policy, and governance from the perspective of Credit Risk.
  • Validate requirements for new models, further develop and enhance the soundness of models in use and work collaboratively with other modelers to mature the procedures and practices in place at PenFed with regards to model risk.
  • Assist with establishing or enhancing standards, requirements and processes related to key MRM activities.
  • Develop / refine model validation framework in relation to enterprise objectives and industry best practices.
  • Work with line of business to track and address validation findings and analytically evaluate residual risk.
  • Communicate findings via effective model validation reports and/or presentations to all stakeholders throughout the organization including senior management, with a plan for corrective action.
  • Demonstrate to external regulators and internal auditors the operational soundness and effectiveness of the model validation process as required.
  • Provide “effective challenge” on ongoing model performance monitoring. Review and assess rigor of model owner/developer’s monitoring plan, monitoring results, model performance thresholds, reporting, and process controls.
  • Review and opine on quality of internal or third-party vendor produced model documentation, model validation reports, annual model reviews, and ongoing performance monitoring and outcome analysis.
  • Independently identify and assess the sources and magnitude of model risk. Perform quantitative or qualitative risk assessments and recommend actionable triggers.
  • Conduct quantitative modeling on portfolio credit risk including default correlations, concentration risk and diversification benefit to inform credit risk appetite and concentration limits setting.
  • Attend and present at Credit Risk Committee.  Communicate findings and escalate issues verbally and in writing, as requested, to executive management and internal credit and risk senior executives.
  • Assist response to regulatory and audit requests related to MRM oversight activities and define remediation plans as needed.
  • Maintain strong working knowledge of model risk management related regulatory requirements / supervisory guidance to ensure adherence.
  • Remain abreast of latest developments and best practices in model risk management arena.

Qualifications

Equivalent combination of education and experience is considered.

  • Master’s Degree or PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, or Quantitative Discipline Equivalent is required. 
  • Minimum of twelve (12) years of experience in credit risk quantitative modeling, model development, model validation or model risk management in financial services industry.
  • Minimum of five (5) years of direct management experience.
  • Deep expertise in quantitative methods, algorithms, and statistical techniques as well as programming language.
  • Ability to support 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.
  • Expertise in Model Development, Model Validation, Model Risk Management, and a strong understanding of quantitative analysis methods in relation to financial institution and track-record in econometric and machine learning analytics.
  • Exhibits sound judgment in decision making and a strategic and trusted partner/advisor to the Line of Business.

Supervisory Responsibility

  • This position will supervise employees.

Work Environment

While performing the duties of this job, the employee is regularly exposed to an indoor office setting with moderate noise.

*Most roles require working in an office setting with moderate noise and the ability to lift 25 pounds.*

 

Travel

Ability to travel to various worksites and be on-call will be required.

 

Special Message Regarding COVID 19

PenFed is continuing to hire and train exceptional individuals to help us serve our 2 million members both here and around the world.  In light of the current situation with novel coronavirus (COVID-19), we have modified our hiring, onboarding, training, and deployment protocols in order to comply with current local and state guidance around social distancing.

About Us

Established in 1935, PenFed today is one of the country’s strongest and most stable financial institutions with over 2 million members and over $26 billion in assets. We serve members in all 50 states and the District of Columbia, as well as in Guam, Puerto Rico and Okinawa. We are federally insured by NCUA and we are an Equal Housing Lender. We are available to members worldwide, via the web, seven days a week, twenty-four hours a day.

 

We provide our employees with a lucrative benefits package including robust medical, dental and vision plan options, plenty of paid time off, 401k with employer match, on-site fitness facilities at our larger locations, and more.

 

Equal Employment Opportunity

PenFed management will maintain and observe personnel policies which will not discriminate or permit harassment or retaliation against a person because of race, color, creed, age, sex, gender, gender identity, gender expression, religion, national origin, ancestry, marital status, military or veteran status or obligation, the presence of a physical and/or mental disability or medical condition, genetic information, sexual orientation, and all statuses protected by applicable state or local law in all recruiting, hiring, training, compensation, overtime, position classifications, work assignments, facilities, promotions, transfers, employee treatment, and in all other terms and conditions of employment. PenFed will also prohibit retaliation against individuals for raising a complaint of discrimination or harassment or participating in an investigation of same.

 

PenFed will also reasonably accommodate qualified individuals with a disability so that they can apply for a job or perform the essential functions of a job unless doing so causes a direct threat to these individuals or others in the workplace and the threat cannot be eliminated by reasonable accommodation or if the accommodation creates an undue hardship to PenFed. Contact human resources (HR) with any questions or requests for accommodation at 240-224-4256.

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Director, Credit Model Risk