Regulatory Model Development Analyst II

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Job Overview

Quantitative Modeler – Unsecured/Secured Products

Description:

• This position within Personal Banking and Wealth Management will develop CCAR/CECL/Climate risk models for secured and unsecured portfolios (e.g., credit cards, installment loans, mortgage etc.)

The responsibility includes but not limited to the following activities:

• Obtain and conduct QA/QC on all data required for CCAR/CECL/Climate risk model development
• Develop segment and/or account level CCAR/CECL/Climate risk 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/Climate risk models built

Qualifications:

• Advanced Degree (Bachelors required, Masters / 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 or secured 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