Officer- CCAR/PPNR Model Developer

• development of econometric forecasting models for key Balance sheet and income statement line items for capital and business planning purposes, including the calculation of Net Interest Income (NII), Non-Interest Revenue (NIR), Interest Rate Exposure (IRE), and other associated risk metrics
• developing Champion and Challenger models using different 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 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

• 2-4 years of relevant statistical/business experience in financial services
• strong understanding of statistical techniques such as Ordinary Least Square regression (OLS), Fixed-effect Panel 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

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