CCAR Modeling Role - BFSI

- Good Experience in Regulatory - IFRS 9

- Developing Risk Models

- Strong exposure in model development

- SAS, Regulations, Default Models

- Score Card, Regression Models

- CCAR / IFRS 9 / Basel

- This position will focus on the model performance tracking, production, and model implementation of CCAR/ DFAST/ ICAAP and CECL stress loss models for client's unsecured product portfolios on an international basis, including but not limited to leading the following activities:

Roles and Responsibility:

- Obtain/ implement model from model development to the production environment, and obtain updated data from countries/ regions and/ or Risk Architecture to run primary & benchmark CCAR models. Document all production related activities around production/ model implementation/ performance tracking.

- Run quarterly model prediction performance back- testing and sensitivity analysis against accuracy and other required model performance triggers for production models

- When performance shifts are observed, perform diagnostic analytics around drivers on the models

- Document & review base and stress CCAR model performance with assigned countries & regions quarterly and assist countries and regions in their use of the CCAR/ DFAST models in business activities such as loss forecasting/ benchmarking their loss forecasts and assessing the risk of various lending segments (i. e., Risk Appetite)

- Review model performance and drivers of any gaps or deterioration in model performance with MRM, IRMO, and regional and country risk managers

- Perform full, formal annual model review to follow MRM s guidance and standards.

Qualifications :

- Advanced Degree (Masters or equivalent) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, or other highly technical quantitative disciplines 

- 2+ years experience in developing or tracking quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and econometric modeling of consumer credit risk

- Expertise in successfully executing either the model development or model performance tracking components of an analytical, econometric modeling- driven stress loss process

- Expertise in running model implementation and model tracking processes across consumer products and/ or business lines - international a plus

- Strong capabilities in communicating technical information verbally and in writing to both technical and non- technical audiences

- Candidates who have performed comparable functions to those listed above for significant, complex financial institutions at a consulting company, vendor, or service provider would be strongly considered as well