Description:

This position within Global Consumer Banking will develop CCAR/DFAST stress testing, loan loss reserve (CECL) and other regulatory models (IFRS9) for international unsecured portfolios and small business portfolios (e.g., credit cards, installment loans, ready credit etc.). The responsibilities include but not limited to the following activities:

• Obtain and prepare model development data
• Select the champion modeling methodology after evaluating multiple options
• Develop sophisticated statistical models to meet the regulatory requirements
• Perform all required tests (e.g. sensitivity and back-testing)
• Validate/recalibrate all models post-production to incorporate latest data. Redevelop as needed.
• Deliver comprehensive model documentation
• Work closely with cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team
• Prepare responses/presentations to regulatory agencies on all models built

Qualifications:

• Advanced Degree (Masters required, PhD preferred) in Statistics, Mathematics, Operations Research, Economics, Financial Engineering, Mathematical Finance, Industrial Engineering, Data Science, and other highly quantitative disciplines
• Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint, or similar programming languages.
• 0-3 years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST)
• Deep knowledge of macroeconomics and business cycles, experience with macroeconomic data
• Active role in performing some analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation)
• Exposure to various CCAR/CECL/IFRS9 modeling approaches at the segment or account level preferred
• Experience with dynamics of unsecured products, with international experience a strong plus
• Able to communicate technical information verbally and in writing to both technical and non-technical audiences

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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Primary Location:

New York New York United States

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Primary Location Salary Range:

$105,510.00 - $158,270.00

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