Consultant - PPNR Model Development - BFS

Consultant, PPNR modeling team, is a key member of the Risk Modeling Team Responsible for acting as an individual contributor in the development and maintenance of high quality risk analytics for PPNR modelling and stress tests. Resolves complex issues in PPNR modeling and measuring risk, enhancement in PPNR methodologies or other aspects of risk measurement. While the main focus is on analytics for projecting Non Interest Income, Expense, Deposit, balance sheet and net income components, projects in interest rate risk analytics may be in scope.

Major Duties

- Responsible for PPNR model development for Non-Interest Income, Net Interest Income, Expense, Deposit, Balance and/or overseeing quantitative analytical processes for risk. Ensures regular production of analytical work. Acts as point of contact for PPNR with regulators, Audit Services, and other independent reviewers.

- Evaluates existing framework in relation to corporate objectives and industry leading practices. Assesses development needs and manages process to achieve desired future state.

- Supports stress testing, capital quantification and/or internal capital allocation methodologies. Ensures that modeling approaches meet both internal corporate needs and regulatory requirements related to prevailing regulatory guidance.

- Provides technical/theoretical expertise to resolve risk issues and enhance overall risk framework. Works with other risk or business unit teams to ensure that risk management policies/processes and quantitative modeling approaches are consistent.

- Provides communication and training efforts to promote understanding of risk measurement throughout the company

- Operates independently; has in-depth knowledge of banking balance sheets and income statements.

- Role is balanced between high level operational execution and development, and execution of strategic direction of business function activities.

- Conducts analysis, independently ensuring accuracy and completeness.

- Responsible for direct interaction with different committees and/or senior management.

- Strategic in developing, implementing and administering programs within Risk Management for specific product(s).

SKILLS:

- Strong CCAR and DFAST, FRY-14A, SR-11/7 understanding. Strong regulatory understanding

- 3+ years of hands on PPNR model building experience

- Strong conceptual and technical knowledge of risk concepts and quantitative modeling techniques including familiarity with statistical concepts used in stress testing Strong in quantitative skills - experience in model validation a plus

- Experience in R, SAS, Matlab, advanced Excel techniques and VBA programming. SAS is preferred

- Strong Experience in building linear regression models, Nonlinear regression, time series modeling (ARIMA, AR, VAR, MA ) and stochastic process

- Strong organizational and interpersonal skills

- Excellent verbal and written communication skills (English)

- Experience of working in a multi-cultural and global environment