CCAR/CECL-Model Development Analyst II- C10

Description:

• This position within US Personal Banking and Wealth Management will develop CCAR/CECL models for unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.). This position will also focus on regulatory model monitoring analytics for regular model performance tracking, annual model review etc.

The responsibility includes but not limited to the following activities:

• Obtain and conduct QA/QC on all data required for CCAR/CECL model development

• Develop segment and/or account level CCAR/CECL 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/CECL models built

Qualifications:

• Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline

• 2+ years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses

• 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 stress loss 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

• Work as an individual contributor