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Develop and refine quantitative credit risk methodology for economic and regulatory capital focusing on stress testing of credit risk exposures
Remediate internal and regulatory methodology findings
Support the execution of CCAR for Bank's U.S. subsidiaries
Calibration of model parameters used in regulatory and economic capital calculations
Run capital impact calculations for test portfolios upon request of risk management, business or U.S. regulator
Communicate model results and prepare detailed SR11-07 compliant model documentation for new models and model changes including assumptions, underlying data, mathematical specification, sensitivity analysis and benchmarking results
Maintain knowledge of industry standards and regulatory requirements, particularly related U.S. regulatory capital and stress testing rules
Prepare internal model governance and regulatory review process and coordinate agreement on methodology design with relevant stakeholders
Coordinate the model development process with various teams within the bank
Qualifications & Skills
Graduate degree in mathematics, statistics, computer science or econometrics (higher degree M.S. or PhD is a plus)
Solid background in financial mathematics and strong analytical skills
Professional Excel and Access, plus experience with relevant programming including VBA
Experience with additional programming languages and modelling software is a plus (e.g. R, Matlab, SAS, F-Sharp, Python, etc.)
Well organized working approach and proven ability to solve problems independently with strong personal ownership and delivery focus
Ability to work with large amounts of data from a number of inhomogeneous data sources
Excellent communication and presentation skills; ability to explain mathematical concepts and results in simple terms