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Salary: USD 142,900 - 160,700 / annual
Mercury, a fintech platform providing banking, treasury, and financial workflow solutions for startups and technology companies, is seeking a Model Risk Manager to build and operate a practical, risk-based Model Risk Management program as the company scales toward regulated bank status.
In this hands-on role, you will conduct independent validations and reviews of internally developed and third-party models across credit underwriting, fraud prevention, BSA/AML, CECL, finance, liquidity, pricing, and operational processes. You will evaluate model methodology, assumptions, data quality, implementation, and performance through outcomes analysis, benchmarking, back-testing, and sensitivity testing scaled to risk and materiality. Key responsibilities include:
• Perform independent validations and reviews of models across multiple risk domains
• Evaluate model methodology, assumptions, data quality, lineage, implementation, and performance
• Provide credible and constructive challenges to model developers while maintaining effective relationships
• Assess model risk and materiality based on inherent risk, purpose, exposure, and potential impact
• Maintain a complete and accurate model inventory with ownership, risk ratings, dependencies, limitations, and validation status
• Review ongoing monitoring plans, performance thresholds, data drift, and model changes
• Evaluate vendor models and third-party analytical products
• Document validation conclusions, identify issues, and track findings through resolution
• Support controlled model use by establishing limitations, compensating controls, and monitoring
• Develop clear reporting on model risk, validation coverage, performance concerns, and exceptions for management and governance committees
• Improve Model Risk Management Policy, standards, procedures, and templates
• Use automation and analytical tools to enhance efficiency
• Partner with Data and AI Governance teams on boundaries between traditional model risk management and generative AI/agentic AI governance
• Support regulatory examinations and Internal Audit reviews
You will work closely with teams across Risk Ops, Data, Engineering, Product, Finance, Compliance, and Internal Audit in a fast-moving environment where governance serves practical business objectives.
REQUIREMENTS:
• 5+ years of relevant experience in model validation, model development, quantitative risk analytics, or related discipline within banking, fintech, financial services, or consulting
• Bachelor's degree in Statistics, Mathematics, Physics, Computer Science, Engineering, Financial Engineering, or related field (Master's degree or PhD preferred)
• Strong knowledge of model risk management principles and current regulatory expectations, including SR 26-2 guidance
• Intensive experience validating or developing models in BSA/AML, fraud, financial forecasting, CECL, capital, liquidity, or credit underwriting using methodologies such as machine learning (XGBoost, random forests), scorecards, complex vendor models (Alloy, Firco), or complex spreadsheet-based models
• Proficiency with SQL and Python from a data analytics lens; ability to build understanding of models independently through evidence collection and data analytics
• Strong written and verbal communication skills; ability to explain model risk to data scientists, regulators, and business teams with appropriate language for each audience
• Exceptional attention to detail across documentation, code base, testing artifacts, and quantitative analysis
• Sound judgment and practical, risk-based mindset; ability to distinguish significant model risk from lower-risk matters and challenge model owners constructively
• High ownership, intellectual curiosity, and comfort building processes in a fast-evolving environment with broad role boundaries
PREFERRED QUALIFICATIONS:
• Experience building or materially enhancing a model risk management program
• Familiarity with bank regulatory examinations, charter readiness, or risk program implementation in growing financial institutions
• Knowledge of Haskell
About Mercury
Fintech — banking, treasury, and financial workflow platform for startups and technology companies.
