Overview
The VP of Financial Modeling and Governance is responsible for validating and reviewing the models and operational processes surrounding the performance forecasting and valuation of mortgage-related products and other financial instruments that PennyMac may invest in or manage. The VP is also responsible for the communication of model output to various parties within and outside the company, including executive management and the Model Risk Subcommittee, as well as parties external to the firm, such as auditors.
Job Description

• Manages the development, testing, and deployment of internally developed and third-party models for the forecasting and valuation of mortgage-related products and other financial instruments that PennyMac may invest in or manage, which in turn are utilized in investment analysis, business forecasting and planning, and financial reporting.
• Manages and conducts independent model validation including code review, model performance benchmarking, sensitivity testing, stress testing and on-going model performance tracking and monitoring.
• Contribute to various research and development projects, including the development and implementation of prepayment, default, severity, optimization, loss mitigation, macroeconomic, and marketing models for mortgage loan valuation and operations.
• Lead validation and review of machine learning and artificial intelligence models. Explore new modeling methodologies along these lines.
• Write formal validation reports and present to senior management and model stakeholders.
• Collaborate with model business owners to size the model risk related business impact and propose strategies and methodologies to mitigate the risk
• Engage with and present to lines of business, Corporate Audit, risk committees, and executive management regarding modeling needs, best practices, model performance, and risk.
• Maintain currency in trends and developments in financial modeling and risk in order to ensure that best practices are followed at the company.
• Conduct work in alignment with the Model Risk Policy, other policies, and in alignment with business and company risk/reward appetite.
• Demonstrate leadership and behaviors that align with the organization's desired culture and values.

Ideal Candidate will have the following:

• 7+ years experience in financial modeling, model risk management, and model governance
• Post-graduate degree in a quantitative major
• Knowledge of mortgage industry and financial concepts associated with mortgages
• Strong verbal and written communications skills
• Strong computer programming skills, with experience in tools such as SAS, SQL, R, Excel, Python, C, and C++

Years of Experience:
7