Lead - PPNR Model Development - BFS

The PPNR Team lead is a key member of the Model Strategy & Data Analytics leadership team, responsible for both his/her individual work stream and managing the day to day activity of the team. The key responsibility is to lead the team in the development, monitoring, recalibration, enhancement, and maintenance of PPNR models used in CCAR and stress testing. To complete the primary responsibility, the PPNR Team Lead interacts with senior stakeholders within risk and the business units to guide modelling activities and present results. While the main focus is on analytics for projecting Deposit Balances, the PPNR Team Lead may support other risk analytics work streams such as stress testing approaches for credit losses/other PPNR components, and risk measurement applications outside stress testing (eg. operational risk, CECL, IFRS 9, etc.).

Major Duties

- Responsible for all phases of model development for PPNR models (fees, deposits, loan etc.) including model and methodology design, exploratory data analysis, model selection, testing, implementation, documentation, and ongoing monitoring. Acts as point of contact for PPNR models with regulators, Audit Services, and other independent reviewers.

- Responsible for direct interaction with various committees and/or senior management. Ensures that PPNR model projections meet both internal corporate needs and CCAR regulatory requirements.

- Ensures regular production of high quality analytical work for self and leads all activities of a small team of risk analytics professionals. Trains junior staff on model development, recalibration, monitoring and implementation of models.

- Acts as subject matter expert, providing comprehensive, in-depth consulting and leadership to team and partners. Resolves complex issues in PPNR modelling, risk quantification, risk modelling methodologies, and other aspects of risk measurement to enhance overall risk framework.

- Works with senior team members to evaluate existing processes in relation to corporate objectives and industry practice. Assesses development needs and manages processes to achieve desired future state.

- Works with other Risk teams to ensure that risk management policies/processes and quantitative modelling approaches are consistent. Contributes to communication and training efforts to promote understanding of risk management throughout the company.

- Operates independently; has in-depth knowledge of business unit / function, balance sheet and income statements.

SKILLS:

- Strong understanding of US regulatory framework including CCAR, DFAST, and SR-11/7.

- Minimum 3-4 years of hands on PPNR modelling experience

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

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

- Strong experience in model building using linear regression models, nonlinear regression, time series approaches (ARIMAX, AR, VAR, MA ), or similar technique.

- Strong organizational and interpersonal skills.

- Excellent verbal and written communication skills (English).

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