Credit Risk/Model Development Role - SAS - BFSI

- 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)

Requirements :

- Advanced Degree (Masters required, Ph.D. preferred) in Statistics, Applied Mathematics, Operations Research, Statistics, Economics, or another highly technical quantitative discipline 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

- Demonstrated ability to lead and coordinate with analytic vendor/supplier/consulting

- Expertise in delivering technical presentations to countries, regions, internal modeling oversight functions, external regulators (e.g., FRB, OCC, FDIC), and internal audit functions

- 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