Assistant Vice President - Modeling - International Bank

Credit Economic Capital Modeling:

- Support Bank Global and Regional Economic Capital production process.

- Run, maintain, and update the monthly production processes for generating loan-level Economic Capital results.

- Perform Monte Carlo simulations of Economic Capital (catastrophic losses that occur in crisis scenarios) using vendor models such as Moody's Risk Frontier.

Assist standardization of Economic Capital modeling across ALL Bank regions.

- Align EC modeling parameters (e.g. quantification of systematic risks in individual credit position, PD/LGD correlation, etc.)

Develop/enhance Bank Economic Capital production process.

- Conduct peer code reviews, promote best coding practice, explore cutting-edge technologies and tools for production process automation.

- Work with stakeholders and partners across Bank global organization (often with conflicting interests).

- Develop and promote tools and technology to facilitate stakeholder communications.

Credit Risk Framework:

- Manage credit risk appetite and concentrations management limit frameworks. Link credit risk appetite and concentration limits to Bank business strategy (capital/earnings).

- Support Bank credit portfolio quality vs. current and future economic/market trends.

- Participate in policy review and updates - in coordination with key regional and global stakeholders.

- As SME, assist risk identification and materiality measurement within the Americas Region.

Credit Loss Forecasting Models:

Forecast stress credit losses according to preformatted macroeconomic scenarios:

- Implement and update proprietary credit risk models (e.g. Probability of Default / Loss Given Default / Exposure at Default) for all loan exposures and loan types.

Assess and standardize loan data extraction from numerous regional and global systems - supporting credit portfolio modeling.