Senior Associate - Portfolio Risk - CCAR Stress Test Modeling Development

As an Associate in Portfolio Risk Modeling, you will support and develop CCAR stress testing and CECL provisioning models for the Cards portfolio. Responsibilities include model monitoring, regulatory exam support, and performance assessment of risk models. You’ll contribute to annual CCAR/CECL model development, leveraging your skills in econometric/statistical modeling, data analysis, and regulatory knowledge . Intellectual curiosity and a drive for cross-functional solutions are highly valued
 

Job rresponsibilities:

• Design, develop, test, and validate statistical models for ‘Cards’ Unsecured Lending portfolio risk forecast and model performance monitoring
• Utilizing graduate-level research and analytical skills to perform data extraction, sampling, and statistical analyses using logistic regression, multinomial regression, multivariate analysis, discriminant analysis, time series analysis, panel data analysis, Survival Hazard Rate Models etc.
• Efficiently design and produce programs to streamline and create repeatable procedures for model development, validation, and reporting
• Process, cleanse, and verify the integrity of data used for analysis
• Perform deep dive analysis to address ad hoc inquiries

Required qualifications, capabilities, and skills:

• MS or PhD degree in a quantitative discipline
• Minimum 6 years of hands-on work and research experience of advanced analytical skills in the areas of statistical modeling and data mining
• Proficiency in advanced analytical languages such as R, Python, PySpark, & ability to work in CLOUD environment
• Experience utilizing SQL in a relational database environment such as DB2, Oracle, or Teradata
• Strong analytical and problem solving skills, communication skills, multi-tasking skills with demonstrated ability to manage expectations and deliver results under tight deadlines

Preferred qualifications, capabilities, and skills : 

• Knowledge of regulatory modeling (IFRS9, CECL, CCAR modeling framework)