Manager - Model Development - BFS

Opportunity

- The team's mandate is to develop and implement state of the art risk models for Credit Stress and Loan Loss (CCAR, Basel, CECL, and IFRS9).

- Core areas include development, prototyping and implementation of models for probability of default (PD), loss given default (LGD), exposure at default (EAD) and related stress testing measures. The team also develops analytic tools for integrated back-testing and performs analysis of model outputs through big data platform and web based reporting tools.

- Contribute to the firm's risk model evolution, credit capital assessment and effective risk management.

- Develop statistical/economic models across wholesale credit portfolios and regulatory exercises to advance the model methodology.

- Participate in all aspects of quantitative activities ranging from model research and prototyping to business support

- Implement models within the firm's analytical libraries, explain forecasts to senior management and partner stakeholders

- Analyze model outputs through big data platform and web based reporting tools; build bespoke risk analytics tools and explain variance

- Actively involve in complete model lifecycle i.e. development, validation, implementation and ongoing monitoring

Requirement:

- Strong knowledge of statistical methods and models: time-series analysis, Generalized Linear models, clustering, predictive analytics and descriptive statistics etc.

- You are experienced in handling large amount of panel data, and data cleaning/filtering

- You demonstrate proficiency in programming skills and are experienced in model development using either Python or R

- You are experienced with quantitative modeling in the wholesale area for regulatory exercises (e.g. CCAR or Basel)

- You have experience in working in a shared computing environment (Linux) with version control.

- 5-10 years of relevant modelling experience or development experience as a data scientist

- Good knowledge of financial instruments and financial risk management principles is preferred.

- Prior experience in writing model documents is strongly preferred but not mandatory