Vice President - Credit & Portfolio Risk Manager - CCAR

Business/Department Objectives :

- To improve risk return dynamics of a major credit card portfolio. This position within the forecasting/scoring team will develop, validate and manage CCAR/DFAST stress loss models

Core Responsibilities :

- The candidate will have experience in a large, sophisticated credit granting or risk management organization within a major consumer card, financial services, retailing or consulting business. This individual will bring a strong analytical orientation, an appreciation for broad-based risk issues, understanding of data mining techniques, and a familiarity with operations

- The role will require successfully performing the different analytical components of an econometric modeling-driven stress test process

- Must have the knowledge and expertise to deliver innovative modeling techniques and data strategies to deliver best in class stress testing and/or credit scoring models

- Must be updated with latest CCAR modelling techniques through ongoing review of Journal papers

- Provide support to senior management against the requirements set by Internal Risk Oversight and other external regulators

- Interacts, communicates effectively and builds strong working relationships on an ongoing basis with business partners

- Leads the CCAR modeling group based out of Mumbai

Day-to-Day Responsibilities :

- Role will require developing PD/EAD/LGD stress testing models for annual DFAST/CCAR exercise. Prior experience in developing loan level models is preferred using one or more modelling constructs:

- Survival Models, Age Period Cohorts and State Transition models

- Perform complex risk policy analytics in terms of sizing the impact of credit/business/regulatory policies on loss performance and figure out a way of incorporating them into the stress testing process

- Perform econometric analysis to estimate and explain the impact of changing macroeconomic trends on Portfolio Performance Losses, delinquency etc.

- Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility), deliver comprehensive model documentation, Validate and Recalibrate models on periodic basis as in line with group policies

- Presentations to both technical and non-technical personnel are required to be made frequently as part of the job. Must have capability to clearly communicate analyses

- Lead a team of high performing associates in the CCAR modeling group based out of Mumbai: work closely with the team and provide guidance on day to day work and career progression

- Work efficiently in a matrix environment creating a balance between business and functional interactions and priorities

Key Deliverables:

- Ongoing management and validation of CCAR and scoring models across portfolios

- Development of CCAR/scoring models as per business requirement

- Exploring and implementing alternate modeling techniques to deliver more predictive models

- Effective interaction with business partners across functions including risk, technology, product management amongst others

Qualifications:

Required :

- Education: Bachelor's degree in a quantitative discipline: Mathematics, Economics, Operations Research, Statistics

- Experience: 10+ years of relevant experience

- Certifications: NA

Skills :

- Ability to apply credit and risk principles toward business objectives

- Demonstrated ability to synthesize, prioritize and drive results with a high sense of urgency

- Strong analytical skills in conducting sophisticated analysis using bureau/vendor data, customer performance data and macroeconomic data

- Strong leadership and team management skills

- Strong programming skills in advanced SAS and SQL in mainframe, UNIX and PC environments

Other :

- Exposure to project/process management

- Strong communication and presentation skills targeting a variety of audiences

- A qualified candidate needs to be able to work with cross functional teams

- Creates and sustains a network of strong client relationships

- Flexibility in approach and thought process

- Ability to work effectively across portfolio risk policy teams and functional areas teams

- Strong influencing, negotiating, and facilitation skills

- Analytical mindset

Preferred Education :

- Master's degree in a quantitative discipline: Mathematics, Economics, Operations Research, Statistics

Preferred Skills :

- Credit card industry experience especially in an analytics, policy or scoring role is preferred

- Exposure to and understanding of Comprehensive Capital Analysis and Review (- CCAR- ) and Dodd-Frank Act Stress Testing (- DFAST- ) processes