Job Description

C11 - Manager - CCAR

  • 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

 

Description:

    • This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for international unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.)

The responsibility includes but not limited to the following activities:

    • Obtain and conduct QA/QC on all data required for CCAR stress loss model development
    • Develop segment and/or account level CCAR stress loss models
    • Perform all required tests (e.g. sensitivity and back-testing)
    • Validate/recalibrate all models annually 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 CCAR models built

Qualifications:

    • Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
    • 4+ 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)
    • Experience with dynamics of unsecured products a strong plus
    • 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, and model production implementation)
    • Exposure to various CCAR modeling approaches at the segment or account level preferred
    • Able to communicate technical information verbally and in writing to both technical and non-technical audiences
    • Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint

 

  • Req Qualifications:

CCAR Quantitative Modeler – Unsecured Products

 

Description:

    • This position within Global Consumer Banking will develop CCAR/DFAST stress loss models for international unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.)

The responsibility includes but not limited to the following activities:

    • Obtain and conduct QA/QC on all data required for CCAR stress loss model development
    • Develop segment and/or account level CCAR stress loss models
    • Perform all required tests (e.g. sensitivity and back-testing)
    • Validate/recalibrate all models annually 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 CCAR models built