Manager, Model Governance & Analysis

OneMain Financial

Full-time - Manager

Securities, Commodity Contracts, and Other Financial Investments and Related Activities

About the position

The Manager of Model Governance & Analysis at OneMain Financial is responsible for overseeing the development and modification of models used throughout the customer credit lifecycle. This role involves close collaboration with the data science team to implement leading model risk management practices, perform independent challenges of models, and ensure adherence to mathematical and statistical standards. The manager will also be tasked with building challenger models, conducting periodic model validations, and preparing regular reporting on risk monitoring activities.

Responsibilities

• Provide hands-on model governance oversight in the development of new models or modifications to existing models used across the customer credit lifecycle.
• Closely partner with the data science team and provide guidance on leading model risk management practices.
• Perform independent challenges of models and identify model weaknesses and opportunities for improvement.
• Evaluate and opine on major model building milestones, including target construction, choice of train vs. validate time period, sampling, performance time windows, parameter tuning routines, model metrics, variable selection, and swap set analysis.
• Build challenger models on select models as needed.
• Ensure that modeling specifications and constructs adhere to defined mathematical and statistical standards.
• Perform model validations on a periodic basis and evaluate whether validations and other reviews follow the requirements set forth in the MRM Policy.
• Use analytics, business rules, and/or other risk tools and techniques to detect model behaviors and risk factors that may indicate activity that warrants further investigation or action.
• Prepare and distribute regular MIS reporting concerning risk monitoring activities and effectively communicate outcomes of model risk management.

Requirements

• Masters in a quantitative field such as Statistics, Mathematics, Data Science, Computer Science, or related quantitative field.
• Advanced knowledge of statistical and machine learning methods, techniques, formulas, and tests.
• 5 years progressive experience in the consumer credit industry.
• 3 years of progressive experience in Model Risk Management.
• Solid knowledge of key econometric and statistical techniques, including predictive modeling, various regressions, decision trees, and data mining methods.
• Strong theoretical and applied background in machine learning models, specifically tree-based models like XGBoost.
• Familiarity with Large Language Models (LLM) is desired.
• Strong analytical, data, problem-solving, and decision-making skills with high attention to detail and accuracy.
• Excellent presentation and communication skills, including technical writing abilities.
• Strong ability to communicate effectively with colleagues with varying degrees of technical analytics knowledge and experience.
• Strong problem-solving skills.
• Strong idea generation and deep-thinking skills with interest in R & D.
• Proficient in SQL, Python, and MS Office suite.