CCAR Unsecured Model Analyst II- C10

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Job Overview

CCAR Quantitative Modeler – Unsecured Products

Description:

This position within US Personal Banking Risk will develop CCAR/CECL models for unsecured portfolios (e.g., credit cards, installment loans etc.)

Responsibilities:

• 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 (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

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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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.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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