Description
- This position within USPB Risk will develop CCAR / CECL models for unsecured portfolios (, credit cards, installment loans etc.)
The responsibility includes but not limited to the following activities :
Obtain and conduct QA / QC on all data required for CCAR / CECL model developmentDevelop segment and / or account level CCAR / CECL stress loss modelsPerform all required tests ( sensitivity and back-testing)Validate / recalibrate all models annually to incorporate latest data. Redevelop as neededDeliver comprehensive model documentationWork closely with cross functional teams, including country / region’s business stakeholders, model validation and governance teams, and model implementation teamPrepare responses / presentations to regulatory agencies on all CCAR / CECL models builtQualifications :
Advanced Degree (Bachelors required, Masters / PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline5+ years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress lossesExperience with dynamics of unsecured products is a strong plusActive 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 stress loss modeling approaches at the segment or account level preferredAble to communicate technical information verbally and in writing to both technical and non-technical audiencesProficiency in SAS / SQL / Oracle / Unix / Microsoft Word, Excel and PowerPointWork as an individual contributorJob Family Group : Risk Management
Job Family :
Risk Analytics, Modeling, and Validation
Time Type : Full time
Most Relevant Skills
Analytical Thinking, Business Acumen, Constructive Debate, Data Analysis, Escalation Management, Policy and Procedure, Policy and Regulation, Risk Controls and Monitors, Risk Identification and Assessment, Statistics.
Other Relevant Skills
For complementary skills, please see above and / or contact the recruiter.