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VP, Quantitative Modeler Officer (GCB)

Job Req ID 21326133 Primary Location Wilmington, Delaware; Irving, Texas Job Category Risk Management
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Description:

This position within Global Consumer Banking will provide macroeconomic data services and develop CCAR/DFAST stress testing, loan loss reserve (CECL) and other regulatory models (IFRS9) for international unsecured portfolios (e.g., credit cards, installment loans, ready credit etc.). The responsibility includes but not limited to the following activities:

  • Prepare macroeconomic data for production, monitoring and development, provide feedback on macroeconomic data quality
  • Work closely with cross functional teams to automate the macroeconomic data adjustment process to facilitate the end-to-end production process
  • Obtain and prepare model development data
  • Select the champion modeling methodology after evaluating multiple options
  • Develop sophisticated statistical models to meet the regulatory requirements
  • Perform all required tests (e.g. sensitivity and back-testing)
  • Validate/recalibrate all models post-production 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 models built
  • Review CCAR and CECL production results and provide analytical support to inform business decisions

Qualifications:

Advanced Degree (Masters required, PhD preferred) in Statistics, Mathematics, Operations Research, Economics, Financial Engineering, Mathematical Finance, Industrial Engineering, Data Science, and other highly quantitative disciplines

  • 2+ years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and econometric modeling
  • Experience with dynamics of unsecured products, with international experience a strong plus
  • Deep knowledge of macroeconomics and business cycles, experience with macroeconomic data
  • Active role in performing some analytical components of model development (data collection, data integrity check, segmentation analysis, variable transformation, variable selection, model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation)
  • Exposure to various CCAR/CECL/IFRS9 modeling approaches at the portfolio, segment or account level preferred
  • Exposure to project management of model development initiatives and prepare technical responses/presentations to internal model review functions and/or external regulators (e.g., FRB, OCC, FDIC) and internal audit functions
  • Able to communicate technical information verbally and in writing to both technical and non-technical audiences
  • Proficiency in SAS/SQL/Oracle/Unix/Eviews/Microsoft Word, Excel and PowerPoint

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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:

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Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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