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Description:
This position within USPB Risk Management will develop CCAR/CECL/Climate riskmodels 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 datarequiredfor CCAR/CECL/Climate riskmodel development
Develop segment and/or account level CCAR/CECL/Climate riskstress 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 riskmodels built
Qualifications:
Advanced Degree (Bachelorsrequired,Masters/PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
2- 5years’ 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 ofunsecured or securedproducts 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 variousstress lossmodeling approaches at the segment or account level preferred
Able to communicate technical information verbally and in writing to both technical and non-technical audiences
Proficiencyin SAS/SQL/Oracle/Unix/Microsoft Word,Exceland PowerPoint
Work as an individual contributor
Time Type:
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