PPNR Model Development Professional - BFS

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 Required

- 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

- Related Industry qualification (e.g., CFA, FRM) a plus