Risk Modeling Role - CCAR/PPNR/Time Series - SAS

- Looking for professionals into Risk Model development with experience into developing CCAR OR PPNR Models, or experience into Time Series Model Development/Validation from Banking domain.

- Need strong hands on experience in SAS.

- Masters in Quantitative discipline is mandatory.

- Being the Senior member of the PPNR team, the incumbent will be responsible for end-to-end responsibility of PPNR models (Statistical & Functional), sharing periodic updates to Senior Governance Group, presenting models to Federal Reserve / OCC / FDIC / Model Risk Management and align PPNR models with operating plan.

The detailed responsibilities includes:

- Development of econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes. This includes the calculation of Net Interest Income (NII), Non Interest Revenue (Non-NIR), Interest Rate Exposure (IRE), Economic Value Sensitivity (EVS), and other associated interest rate risk metrics.

- Deep understanding of statistical techniques such as Panel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration.

- Steering stakeholder conversations with Businesses, Finance, Treasury and Risk to seek their sign-offs on Champion models.

- Manage the Segmentation, Risk Identification, overlay discussions with Businesses and Finance teams.

- Responsible for reviewing and timely submission of Model development documentation (MDDTs) for entire PPNR modeling landscape to Model Risk Management.

- Align with Model Risk Management on modeling and validation practices and have periodic check-ins with them.

- Manage FRY14 Regulatory reporting / Recovery & Resolution planning and present the findings to senior Finance leadership before submission to Regulators.

- Create a culture of accountability and strict quality control of the data integrity and modeling process

- Develop and maintain a comprehensive modeling system that maintains consistent approach to data quality and modeling methods, audit, back test, tracking, annual validation. This is critical in reducing the model operating risk

- Ability to build key relationships with finance and business teams

- Must be able to present technical matters in a way that is meaningful to the audience

- Ability to influence people and empower team members to be proactive and focused on partnerships and results

- Excellent presentation skills; the ability to translate complex financial schedules into meaningful presentations is critical; demonstrated analytical skills including the ability to synthesize quantitative and qualitative data to draw conclusions and assist on decision making

- Ability to build key cross functional and cross business relationships

- Broad and deep understanding of accounting principles, investment, accrual products and corporate finance concepts

- Demonstrated leadership and team management skills and ability to managing multiple projects and deadlines