Associate/Assistant Vice President - PPNR & CCAR Modeling - Investment Banking

Associate/Assistant Vice President - PPNR & CCAR Modeling - Investment Banking

Position(s) Reports to: Director 

Local Manager - For Japan, Poland & US only NA

Profession: Treasury US India

Position: Modeling and Analytics

Functional Title:

Corporate Title: Associate / AVP

Local Grade (Regional): 3

Number of positions required: 1

Is this a GKFH, SLC, SMG or an IHC position?

- US only

- UK only Yes / No

- If Yes, only approved position descriptions are to be used for the position/job posting.

Role Description - Summary

The primary function of this role is to enhance the bank's existing CCAR PPNR modelling methodologies as well as develop new methodologies.

The suitable candidate will have the following responsibilities in this role:

- Maintain and extend an inventory of quantitative and qualitative models to assist in capital adequacy assessments under different macroeconomic projections

- Maintain a framework to define the usage of relevant models

- Critically evaluate information gathered from multiple sources, reconcile conflicts, decompose high-level information into details and abstract up from low-level information to a general understanding

- Work independently with team leads / teams / management

Responsibilities / Tasks : 

The position of Associate/Assistant Vice President - Modeling & Analytics is responsible for (but not limited to):

- Support model implementation, automation, and the creation of robust and repeatable analytics across CCAR, recovery and resolution planning, and interest rate risk in the banking book.

- Support the development and implementation of macroeconomic and risk attribution analysis.

- Create proof of concept case studies and then formalize technology requirements for the rollout of advanced analytics.

- Develop and own cutting edge analysis and write-up of balance and pre-provision net revenue results in the bank's annual Capital Plan submission.

Experience / Exposure: 

- 6+ years of experience in a modeling discipline for Banking or Capital Markets at a top tier bank or consulting firm

- Degree from top tier institution with a quantitative concentration, e.g., applied statistics / mathematics, engineering, operations research, etc.

- The role requires strong quantitative skills, including:

- Extensive knowledge and modeling experience in at least one area: PPNR, Credit, Market, ALM principles and relevant interdependencies

- Familiarity with time-series and panel data analysis as well as linear and non-linear generalized linear mixed models

- Understanding of linear and non-linear interdependence between risk factors such as variance-covariance or copulas

- Knowledge of key distributions and their implementation in various analysis contexts

- Proficiency in at least one programming language such as SAS, R, and MATLAB

- Stong written and verbal presentation and communication skills

People Management

- Collaboration and Teamwork

- Effective Communication

- Integrity, Trust and Fairness

- Professional Development Focus

- Business and product knowledge

- Leadership and Influence

- Commercial and Business Acumen

- Openness to innovation and change

- Performance orientation

- Client Relationship Focus

Education/ Qualifications

- University graduate or equivalent degree in finance, economics, mathematics or engineering is a must. Masters qualifications or above would be considered an advantage.