Manager - CCAR Modeling - SAS/SQL - BFSI

CCAR/CECL/Decision Scores Quantitative Modeler - Unsecured Products

Description:

- This Position is within Global Consumer Risk Management of the Co. for CCAR/CECL/Decision Scores model development for the 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/CECL/Decision Scores model development

- Develop segment and/or account level CCAR/CECL/Decision Scores models. Developing Underwriting, Line management, Account management, Collection and Recovery models.

- Executing the above models in compliance with GCCFRP and in accordance with the Model Development Procedures within Risk

- Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed.

- Perform all required tests (e.g. sensitivity and back-testing). Deliver comprehensive model documentation and perform implementation tests

- Work closely with cross functional teams, including business stakeholders, model validation and governance teams, and model implementation team

- Work closely with policy managers in establishing the swap set analysis and PnL optimization using the models.

- Create story boards, presentations and project plans for discussions with senior management

- Support the regulatory submissions for theCo. on CCAR/CECL and work on adhoc requests from Business and Independent Risk

- Prepare responses/presentations to regulatory agencies on all CCAR models built

- Train and mentor junior modeler in developing innovative models in compliance with policies and procedures

Qualifications:

- Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline

- 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

- At least 3 years- experience in developing credit risk/marketing scorecard with At least 1 year experience leading a risk/marketing model development or a credit policy using segmentation

- Hands on experience of Risk Model Development procedures and concepts and ability to manage own projects fairly independently

- Experience with dynamics of unsecured products 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, and model production implementation)

- Ability to work effectively in cross functional teams, including country/region's business stakeholders, model validation and governance teams, and model implementation team

- Good understanding of regulatory requirements

- Exposure to various stress loss modeling approaches at the segment or account level preferred

- Able to communicate technical information verbally and in writing to both technical and non-technical audiences

- Mentor/manage 1 - 2 member team

Technical Skills:

- Strong technical skills in modeling procedures is required (regression, time series, decision tree, linear/nonlinear optimization etc.)

- Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint

- Basic programming skills in Python or R is required

- Strong communication skills to present technical information verbally and in writing to both technical and non-technical audiences is required.

- Ability to influence others in technical matters is required.

- On-the-job Python coding experience is preferred.

- Machine Learning knowledge is preferred

- Big Data concepts understanding is preferred