This position will report to the Senior Director of Loss Forecasting and it a highly visible role which must interact with business partners in risk, finance and accounting. This position requires in depth knowledge of loss forecasting, advanced modeling techniques and coding languages such as SAS, SQL and R.
Sallie Mae is seeking a Director of Consumer Loan Loss Forecasting to develop statistical models that assess the credit risk of the Sallie Mae Personal Loanportfolio and develop forward looking views of loss expectations. This individual will lead a team that will be responsible for building and perform qualitative and quantitative analysis on the Sallie Mae Personal Loanportfolio in support of the bank's transition to CECL (Current Expected Credit Loss).
Manage the Consumer Loan Loss Forecasting Team - 30%
- Manage and provide thought leadership for the Consumer Loan Loss Forecasting team
- Manage independent model validation, internal and external audit, and regulators reviews.
- Interacts with internal risk partners and regulators to address model issues and remediation actions.
Development of CECL Models for the Personal Loan Portfolio - 60%
- Develop CECL compliant loss forecasting models such as vintage level econometric models, PD/LGD models, conditional transition matrix models and survival/hazard models for the Personal Loanportfolio.
- Analyze and provide guidance to management on the appropriate modeling methodology to employ for forecasting losses on the Personal Loanportfolio.
- Design and manage the model testing, model implementation and model monitoring activities.
- Ensure model documentation meets internal and regulatory standards.
- Participate in all stages of model development from model methodology and framework design, data preparation, segmentation, model development, model testing and calibration.
- Implement the models, monitor model performance and evaluate the CECL impact to our financial results for the Personal Loanportfolio.
Adhoc Business Support - 10%
- Manage and work on various ad hoc quantitative, modeling, and programming assignments.
- 7+ years of progressive experience working in a financial services environment and/or acquired skills obtained through higher education.
- 5+ years of experience building statistically based models using SAS, SQL, R or comparable coding language
- Experience in management
- In depth knowledge of loss forecasting, statistical models and data mining techniques
- The ability to understand generally accepted accounting principles (GAAP).
- Strong oral and written communication skills required to effectively and concisely present key findings to senior management is a must
- Strong working knowledge in presenting quantitative data via PowerPoint, Excel, Word, etc.
- Solid knowledge of financial services industry and the products and services offered
- Candidates with DFAST, CCAR or IFRS 9 model development experiencepreferred, but not required
- Advanced degree in a quantitative field such as statistics, mathematics or economics required
- Ph.D in a quantitative field preferred
Knowledge, Skills and Abilities:
- Ability to consistently meet expected deadlines
- Excellent written and verbal communication skills
- Ability to simultaneously manage and organize multiple projects
- Ability to recognize/analyze/resolve system and procedural problems
- Ability to lead and coordinate activities of a project group
- Ability to perform well under pressure and to work independently with high levels of initiative
- Excellent organizational skills (If this sounds like a great fit, please visit our Sallie Mae Careers page to apply)