AVP_Credit Economic Capital Modeling

Job Profile

Key Accountabilities

• Support Global and Regional Economic Capital production process.
• Run, maintain, and update the monthly production processes for generating loan-level Economic Capital results.
• Perform Monte Carlo simulations of Economic Capital (catastrophic losses that occur in crisis scenarios) using vendor models such as Moody's Risk Frontier.
• Assist standardization of Economic Capital modeling across ALL regions.
• Align EC modeling parameters (e.g. quantification of systematic risks in individual credit position, PD/LGD correlation, etc.)
• Develop/enhance Economic Capital production process.
• Conduct peer code reviews, promote best coding practice, explore cutting-edge technologies and tools for production process automation.
• Work with stakeholders and partners across global organization (often with conflicting interests).
• Develop and promote tools and technology to facilitate stakeholder communications.
  

Credit Risk Framework

• Manage credit risk appetite and concentrations management limit frameworks. Link credit risk appetite and concentration limits to business strategy (capital/earnings).
• Support credit portfolio quality vs. current and future economic/market trends.
• Participate in policy review and updates – in coordination with key regional and global stakeholders.
• As SME, assist risk identification and materiality measurement within the Americas Region.
  

Credit Loss Forecasting Models

• Forecast stress credit losses according to preformatted macroeconomic scenarios:
• Implement and update proprietary credit risk models (e.g. Probability of Default / Loss Given Default / Exposure at Default) for all loan exposures and loan types.
  

Job Requirements

• Excellent data analytics skills gained through hands-on experience, including familiarity with large data sets and the tools for data analysis (e.g. R, python, Pandas)
• Experience using Git/Bitbucket (version control applications) to manage production-level code.
• Understanding or ability to quickly learn – credit management platform (software) i.e. credit loss forecast models, stress lost forecasting, Monte Carlo loss simulation, etc.
• Excellent communication skills, oral and written, also interpersonal skills.
• Experience with statistical tools and techniques (regression models, multivariate analysis, machine learning / deep learning) within financial services
• Model development capabilities.
  

Experience & Abilities

• 3+ years work experience with credit analytics (or equivalent) function preferred.
• 2+ years work experience in/or supporting Front Office function (e.g. credit, markets, etc.) within a major commercial or investment bank, insurance company, or similar international financial business.
• Understanding of / or direct Experience with cloud computing (i.e. AWS).
• Active participation in leading/advocating projects. Strong teamwork abilities.
• Excellent critical thinking, problem-solving abilities.
• Highly motivated, strong attention to detail, organized