Obtain and conduct QA/QC on all data required for CCAR stress loss model development

Develop segment and/or account level CCAR stress loss models

Perform all required tests (e.g. sensitivity and back-testing)

Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed

Deliver comprehensive model documentation

Work closely with cross functional teams, including country/region’s business stakeholders, model validation and governance teams, and model implementation team

Prepare responses/presentations to regulatory agencies on all CCAR models built

Qualifications:

Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline

4+ years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses (e.g., CCAR/DFAST)

Experience with dynamics of unsecured products a strong plus

Active role in performing some analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, and model production implementation)

Exposure to various CCAR modeling approaches at the segment or account level preferred

Able to communicate technical information verbally and in writing to both technical and non-technical audiences

Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint