CCAR Risk Model Development Analyst II- C10

• Description:

  • This position within USPB Risk Management will develop CCAR/CECL/Climate risk models for unsecured portfolios (e.g., 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/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- 5 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

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