AVP/VP - CCAR Modeling

Description

Comprehensive Capital Analysis Review (CCAR) is a semi-annual US Federal Reserve regulatory submission. It is used to ensure that institutions have robust, forward-looking capital planning processes that account for their unique risks and sufficient capital to continue operations throughout times of economic and financial stress.

As a part of the CCAR Team, the AVP/VP will manage all CCAR initiatives and submissions through data capture, consolidation, transformation, reconciliation and analysis. The responsibilities include:

- Development of econometric forecasting models for all significant balance sheet assets and liabilities for capital and business planning purposes. This includes the calculation of Net Interest Income (- NII- ), which is also referred to as Net Interest Revenue (- NIR- ), Interest Rate Exposure (- IRE- ), Economic Value Sensitivity (- EVS- ), and other associated interest rate risk metrics.

- Development, documentation and testing of product models needed as input to Financial Planning and Risk Management forecasts.

- Evaluate the impact on the product models of various scenarios used for Comprehensive Capital Analysis & Review (CCAR) submissions

- 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

- Coordinate COE FP&A activities for CCAR, including liaising with business units, risk and treasury

- Present stress test and other scenarios to corporate FP&A senior management

- 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

- Highly motivated, participative team player with a change agent mentality that can provide leadership

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

Other requirements:

- 9 - 12 years of relevant finance/business/accounting/statistical experience in financial services

- MBA/Masters in Economics, Finance, Accounting or related discipline

- Expertise in Stochastic Modeling Approaches, Modern Risk Management Theory and Modern Financial Theory

- Experience developing econometric and multivariate regression models. Good understanding of Seemingly Unrelated regression, Panel Data regression and Fixed effect models

- Extensive hands-on experience in programming and modeling using SAS

- 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

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

- 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

- Experience in model validation, documentation and tracking

Weightage Responsibilities

30% - Portfolio behavior in different test scenarios

- Time series modelling - stimulate from last 10 years

40% - Navigating the system to get approval

- Conversations with stakeholders to get approvals

- Should be able to speak with Stakeholders in layman language

30% - Statistical documentation submission to MRM team