Credit Stress Test Scenario & Design VP
White Plains, NY, USA | SMBC Group
Job Description:72 people have viewed this job
The Model Development Group within the Risk Management Department is looking for a Model Risk Vice President who will play an integral role in enhancing the Internal Stress Testing framework, developing models, and incorporating results into and defining Risk Appetite and Tolerances, Limits, Guidelines and Indicators.
This person will have a good understanding of modern credit risk management practices and relevant regulation and knowledge of portfolio credit risk modelling techniques (model design; calibration; usage) as well as knowledge of current expected credit loss methodology (CECL).
This person will assist in the enhancement of the risk identification and control framework which identifies the key/top risks and controls, assesses the effectiveness of controls through review challenge processes and develops techniques to model both inherent and residual risks.
This person will use forward risk identification, view of controls and forward-looking stress tests to help articulate risk appetite and tolerances.This person will possess excellent knowledge of risk and is very analytical such that he/she is able to weigh trade-offs in design and present pros/cons of different approaches and interpretation of results to a wide range of audiences.
In addition, this person will assist in the Capital Planning process including stress scenarios, developing the plan and generating results for senior management and Board Risk Committees review.
Use judgment and knowledge to present pros/cons of different approaches and impact of risk.
Develop methodologies to aggregate identified risks and assess risks across business lines and products.
Define stress testing standards and framework. The role will encompass both scenario design and broader stress testing with a focus on bottom up and top down credit portfolio stress scenarios across Combined U.S. Operations.
Develop ad hoc scenario design incorporating emerging risk factors.
Extract risk information from the analysis of stress testing results and application of quantitative techniques to derive tangible implications for a business line or entity.
Integration of stress testing results to the business decision making process.
Understand and define the requirements for enhancing data platforms to support advanced portfolio management for both top-down and bottom-up stress testing capabilities.
Relevant involvement in designing and running credit scenarios.
First-hand experience in using credit risk models for measuring exposures, wrong way risk, settlement risk and residual risks.
7+ years of experience in credit risk stress testing with experience leading economic and capital stress testing across a broad array of credit products, particularly wholesale banking and structured finance.
Enterprise-wide knowledge of risk appetite and links to the capital base / risk capacity with the ability to engage with data management and reporting team to source data, identify additional data sources relevant to current risk environment, and synthesize data to develop a cohesive assessment of the risk factors and convey contextual significance for both senior management presentations and regulatory reporting.
In-depth knowledge of lending portfolios and credit risk modeling including Basel parameters estimation (PD, LGD, EAD, correlation) and bank credit loss forecasting modeling.
Excellent financial modelling skills with a strong quantitative background, including knowledge of statistical packages (i.e. R or Matlab)
Master’s Degree or PhD in a quantitative discipline preferred.
Good exposure with risk analysis, scenario analysis, and stress testing.
Strong analytical skills, excellent communication skills, team player, & problem solver skill-set.
Knowledge of US Regulatory Requirements and best practices regarding risk process and risk frameworks
Well-developed project management skills
Demonstrated ability to independently drive results as a self-starter
Excellent written and verbal communication skills:
Ability to translate these skills to capture content rich issues and drive complex initiatives
Excellent skills in PowerPoint at distilling, rendering and visualizing complex issues in an accessible manner for executive, senior and technical audiences.
Should be able to simplify complex issues as well as the ability to provide effective challenge to senior members of business line and risk management across the organization
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