Responsibilities:
o Understand the Credit Risk RWA models used
o Understand the Projection Market and Credit Risk RWA and loss models being developed for CCAR use
o Support implementation and testing of these stress testing models in conjunction with senior management at Risk, Front Office and Cluster managers
o Run the models with appropriate tools and controls during CCAR
o Work with model validation teams to get the market risk RWA and other related models validated
o Help with model and result documentation for the CCAR submission
Qualifications:
o Ability to work under tight deadline and high pressure environments
o Quick learner and ability to think on feet
o Ability to implement proof of concept solutions in order to present or test ideas quickly
o Good experience with implementing models in Excel or Access
o Strong familiarity with R. Knowledge of other statistical, risk management or mathematical modeling tools would be useful
o Excellent communication skills
o 2 - 5 years of experience with risk modeling, statistical testing, time series methodology or stress testing and scenario analysis
o A Bachelor's or higher degree in a quantitative discipline
