CCAR/PPNR Model Developer

• Development of econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes
• Developing Champion and Challenger models using different time series forecasting methodologies to comply with SR 15-18 guidance
• Development of Benchmark models using Industry data series to meet regulatory requirements
• Manage the model life-cycle from first-line of defense perspective and participate in Segmentation, Risk Identification, overlay discussions with Businesses and Finance teams
• Responsible for understanding changes to quantitative requirements published by MRM in Model Testing Guidance and presenting the key changes to senior model development leads
• Also, be a champion in addressing observations raised by MRM and Internal Audit in a quantitative manner by thinking out-of-box
• Responsible for writing model development documentation and partner with Model Risk Management (MRM) to address their feedback
• Contribute to stakeholder conversations with Businesses, Finance, Treasury and Risk to seek their sign-offs on Champion models

• 4-6 years of relevant statistical /business experience in financial services
• Strong understanding of statistical techniques such as Ordinary Least Square regression (OLS), Fixed-effectPanel Regression, Error Correction Models, Seemingly Unrelated regression and Cointegration
• Understanding of Machine learning algorithms will be a plus
• Hands-on experience in programming and modeling using SAS, Python and R is preferred.
• Follow a culture of accountability and strict quality control of the data integrity and modeling process
• Ability to build key relationships with finance and business teams
• Must be able to present technical matters in a way that is meaningful to the audience

Understanding of Machine learning algorithms