Job Description

C12 - AVP - Model Development

  • Good Experience in Relgulatory - IFRS 9
  • Developing Risk Models
  • Strong exposure in model development
  • SAS, Regulations, Default Models
  • Score Card, Regression Models
  • CCAR / IFRS 9 / Basil

This position will focus on the model performance tracking, production and model implementation of CCAR/DFAST/ICAAP and CECL stress loss models for client's unsecured product portfolios on an international basis, including but not limited to leading the following activities:

Roles and Responsibility:

  • Obtain/implement model from model development to production environment, and obtain updated data from countries/regions and/or Risk Architecture to run primary & benchmark CCAR models. Document all production related activities around production/model implementation/performance tracking.
  • Run quarterly model prediction performance back-testing and sensitivity analysis against accuracy and other required model performance triggers for production models
  • When performance shifts are observed, perform diagnostic analytics around drivers on the models
  • Document & review base and stress CCAR model performance with assigned countries & regions quarterly and assist countries and regions in their use of the CCAR/DFAST models in business activities such as loss forecasting/benchmarking their loss forecasts and assessing the risk of various lending segments (i.e., Risk Appetite)
  • Review model performance and drivers of any gaps or deterioration in model performance with MRM, IRMO, and regional and country risk managers
  • Perform full, formal annual model review to follow MRM’s guidance and standards.

 

Qualifications

  

  • Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, or other highly technical quantitative discipline 
  • 5+ years’ experience in developing or tracking quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and econometric modeling of consumer credit risk
  • Expertise in successfully executing either the model development or model performance tracking components of an analytical, econometric modeling-driven stress loss process
  • Expertise in running model implementation and model tracking processes across consumer products and/or business lines - international a plus
  • Demonstrated ability to lead and coordinate with analytic vendor/supplier/consulting
  • Expertise in delivering technical presentations to countries, regions, internal modeling oversight functions, external regulators (e.g., FRB, OCC, FDIC), and internal audit functions
  • Strong capabilities in communicating technical information verbally and in writing to both technical and non-technical audiences

Candidates who have performed comparable functions to those listed above for significant, complex financial institutions at a consulting company, vendor, or service provider would be strongly considered as well