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Job Description
Senior CCAR Quantitative Modeler – Unsecured Products-16042143
Description
This position within Global Consumer Banking will develop CCAR/DFAST stress
loss models for international unsecured portfolios (e.g., credit cards,
installment loans, ready credit etc.). The responsibility includes but not
limited to the following activities:
• Obtain and conduct QA/QC on all data required for CCAR stress loss
model development
• Develop segment and/or account level CCAR 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
models built
Qualifications
Qualifications:
Advanced Degree (Masters required, PhD preferred) in Statistics, Applied
Mathematics, Operations Research, Economics, 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 (e.g
., CCAR/DFAST)
• Experience with dynamics of unsecured products, with international
experience 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,
& model production implementation)
• Exposure to various CCAR modeling approaches at the 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/Microsoft Word, Excel and
PowerPoint
Education Level: Master's Degree
Primary Location: NAM-USA-Delaware
Other Locations: NAM-USA-TX-Irving
Job Category: Risk Management
Schedule: Full-time
Shift: Day Job
Employee Status: Regular
Travel: Yes, 10 % of the Time
Salary Grade: C13
Relocation: No |
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