Risk Model Development Role - KPO

Risk Model Development
Description:
- This position within Personal Banking and Wealth Management will develop CCAR/CECL 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 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
- 7+ 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
- Mentor/manage 1 - 3 member team