Credit Risk Analytics Professional - PPNR Modeling - Banking Captive

About the team:

The Credit and PPNR Modeling (CaPM) Center of Excellence is a COE within Corporate Credit and Market Risk.

The Credit and PPNR Model Development is responsible for model development and implementation of the following model types :

- Pre-Provision Net Revenue (PPNR) estimates including forecasting models to support Dodd Frank and the Comprehensive Capital Analysis and Reporting exercises (CCAR).

- Credit loss estimation models for the entire loan portfolio to support allowance for credit loss (including current expected credit loss preparation); estimation of risk weighted assets (RWA) in compliance with BASEL regulations; and, economically sensitive credit loss estimation in compliance with Dodd Frank and the Comprehensive Capital Analysis and Reporting exercises (CCAR).

Required Qualifications:

- B.S. or B.E graduates with 5+ years or M.S graduates with 6+ years of relevant experience

- 5+ years of advanced SAS and SQL experience

- Must have worked on PPNR and, Developed balance, interest income, non-interest income, and expense forecasting models

- Data Research and Analytics experience

- Knowledge and understanding of regulatory compliance requirements surrounding BASEL, Risk Appetite and Stress Testing

- Experience driving balance sheet, fee income, and/or expense modeling and strategy (NII, NIE)

- Extensive Knowledge of ARIMA and time-series regression models

- Excellent verbal, written, and interpersonal communication skills