Overview
The position will lead and assist in developing and maintaining credit methodology and infrastructure. Main responsibilities include establishing/maintaining credit risk measurement methodologies, building and maintaining credit risk analytics infrastructure and tools, support the model risk governance (model documentation, testing, ongoing monitoring, stress tests, etc.), as well as providing on-going analytical support for credit risk related analysis.
Responsibilities
Credit Risk Model Development:
- Develop credit related models (including but not limited to risk rating models, CECL model, stress testing models), test, implement and deliver the comprehensive technical and non-technical model documentation.
- Obtain and prepare model development data in support of standing up credit risk models.
- Perform quantitative research to implement model changes, enhancements and remediation plans.
- Work with stakeholders across business and functional teams during model development and implementation process.
- Create tools and dashboards which can enhance and improve the risk analysis.
- Conduct analysis of the implemented model short-comings and design model enhancement plans.
- Identify risks not captured by analytics, develop and implement methodology to quantify the materiality, and design a strategic plan to better integrate and manage such risk
- Support discussions with model owner, stakeholders and regulators as a subject matter expert
- Provide training and guidance to model users
Support Model Validation:
- Communicate with model users, model risk manager and senior management regarding validation findings and remediation activities
- Independently coordinate the remediation of model validation findings and provide analytical remediation solutions
- Remediate model risk management findings via applying analytical skills and produce model findings remediation report
- Enhance model documentation to meet model risk management requirement
- Support and drive the team to implement the activities defined in model risk management framework and ensures that adherence to model risk management framework
Model Performance and Ongoing Monitoring:
- Maintain credit model inventory and conduct annual model review and ongoing performance monitoring
- Periodically evaluates and enhances the models to maintain their relevance and ensure compliance with current regulatory requirements.
- Collaborates with business units to identify the relevant data used in analyses and modeling and to ensure that it is collect and retained.
- Develops, enhances, implements, documents and provides ongoing expert support for the practical applications of analytics, financial economics, and quantitative methods in support management decision making and risk management.
Quantitative Analysis:
- Conducting research and analysis to provide a micro view of risk management in a particular business line and a macro view of risk management for the bank as a whole
- Provides technical knowledge and advice to management related to quantitative analysis, modeling and stress testing.
- Develops, documents, and maintains quantitative tools and models used to measure risks, including but not limited to quantify the Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) to be used in the credit review process and in the calculation of the allowance for credit losses.
Qualifications
- Bachelor's degree in Statistics/Mathematics/Physics/Computer Science/Engineering or other quantitative fields required, Master's preferred
- Minimum 4 years of experience in stress testing, allowances methodology, risk rating modeling and credit risk management at a financial institution
- CPA/CFA/FRM preferred
- Demonstrate broad knowledge of credit markets and specific products knowledge including corporate loans, structured loans, leveraged loans, mergers & acquisition finance, project finance and trade finance, and accounting and capital market knowledge
- Demonstrate knowledge in at least one of the areas: Stress testing, CECL, Rating Methodology, and fixed income pricing
Pay Range
Actual salary is commensurate with candidate’s relevant years of experience, skillset, education and other qualifications.
USD $65,000.00 - USD $150,000.00 /Yr.
