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About the Role
Mercury is seeking a Model Risk Manager to establish and operate a risk-based Model Risk Management program, crucial for scaling and preparing for regulated bank status. This role involves independent review and challenge of models across various business functions, ensuring governance is proportionate to risk. It requires a blend of technical analysis, regulatory understanding, and business context, partnering with multiple teams to ensure models are used safely, responsibly, and effectively.
Responsibilities
- Perform independent validations and reviews of internally developed and third-party models.
- Evaluate model methodology, assumptions, data quality and lineage, implementation, and performance.
- Provide credible and constructive challenges to model developers, owners, and users.
- Assess model risk and materiality based on inherent risk, purpose, exposure, use, and potential impact.
- Help maintain a complete and accurate model inventory.
- Review ongoing monitoring plans and results.
- Evaluate vendor models and other third-party analytical products.
- Document validation conclusions, identify issues, and recommend proportionate remediation.
- Support controlled model use when validation cannot be completed before implementation.
- Develop clear reporting on model risk for management and governance committees.
- Help improve Mercury’s Model Risk Management Policy, standards, procedures, and templates.
- Use automation and analytical tools to improve efficiency in model management, testing, monitoring, and reporting.
- Partner with Data and AI Governance teams to establish boundaries for generative AI and other analytical systems.
- Support regulatory examinations, Internal Audit reviews, and other assurance activities involving model risk.
Requirements
- 5+ years of relevant experience in model validation, model development, quantitative risk analytics, or a related discipline within banking, fintech, financial services, or consulting.
- Strong knowledge of model risk management principles and current regulatory expectations, including SR 26-2.
- Intensive experience validating or developing models in areas such as BSA/AML, fraud, financial forecasting, CECL, capital, liquidity, and credit underwriting.
- Proficiency with SQL and Python (from a data analytics lens).
- Strong written and verbal communication skills.
- Exceptional attention to detail across documentation, code base, testing artifacts and quantitative analysis.
- Sound judgment and a practical, risk-based mindset.
- High ownership, intellectual curiosity, and comfort building processes in a fast-evolving environment.
- Experience helping build or materially enhance a model risk management program.
- Familiarity with bank regulatory examinations, charter readiness, or the implementation of risk programs within a growing financial institution.
- Knowledge of Haskell.
Skills
- Model validation
- Model development
- Quantitative risk analytics
- SQL
- Python
- Machine learning (e.g., XGBoost, random forests)
- Scorecards
- Complex vendor models (e.g., Alloy, Firco)
- Complex spreadsheet-based models
- Communication skills
- Attention to detail
- Judgment
- Risk-based mindset
- Process building
- Haskell
Location
- US employees in New York City
- US employees in Los Angeles
- US employees in Seattle
- US employees in the San Francisco Bay Area
- US employees outside of these areas
- Canadian employees (any location)
Work Type
- Full-time
Experience Level
- 5+ years of relevant experience
Education Level
- Bachelor’s degree in Statistics, Mathematics, Physics, Computer Science, Engineering, Financial Engineering or a related field.
- Master’s degree or PhD is preferred.
Salary/Compensations
- US employees in New York City, Los Angeles, Seattle, or the San Francisco Bay Area: $142,900—$160,700 USD
- US employees outside of New York City, Los Angeles, Seattle, or the San Francisco Bay Area: $128,600—$144,600 USD
- Canadian employees (any location): $135,000—$151,900 CAD
Benefits
- Base salary
- Equity (stock options/RSUs)
About the Company
- Mercury is a financial technology company, not a bank. Banking services provided through Choice Financial Group, Column N.A., and Evolve Bank & Trust, Members FDIC.
Equal Opportunity
- Mercury values diversity & belonging and is proud to be an Equal Employment Opportunity employer. All individuals seeking employment at Mercury are considered without regard to race, color, religion, national origin, age, sex, marital status, ancestry, physical or mental disability, veteran status, gender identity, sexual orientation, or any other legally protected characteristic. We are committed to providing reasonable accommodations throughout the recruitment process for applicants with disabilities or special needs. If you need assistance, or an accommodation, please let your recruiter know once you are contacted about a role.