• Description: 

  • This position within USPB Risk Management will develop CCAR/CECL/Climate risk models for unsecured portfolios (e.g., credit cards, installment loans etc.) 

  The responsibility includes but not limited to the following activities: 

  • Obtain and conduct QA/QC on all data required for CCAR/CECL/Climate risk model development  

  • Develop segment and/or account level CCAR/CECL/Climate risk 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/CECL/Climate risk models built  

  Qualifications: 

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

  • 2- 5 years’ experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses  

  • Experience with dynamics of unsecured or secured 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 stress loss 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 

  • Work as an individual contributor 

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Job Family Group:

Risk Management

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Job Family:

Risk Analytics, Modeling, and Validation

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Time Type:

Full time

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