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Director, Risk Quantitative Analytics
Silicon Valley Bank
San Francisco, CA, United States
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Description
When you work with the world's most innovative companies, you know you're making a difference.
Our clients are the game changers, leaders and investors who fuel the global innovation economy. They're the businesses behind the next medical breakthroughs. And the visionaries whose new technologies could transform the way people live and work.
They come to SVB for our expertise, deep network and 30+ years of experience in the industries we serve, and to partner with diverse teams of passionate, enterprising SVBers, dedicated to an inclusive approach to helping them grow and succeed at every stage of their business.
The Risk Quantitative Analytics Director will act as a technical lead to design, enhance, and implement CECL compatible ALLL models within Credit Administration, as well as support expanded portfolio analytics, credit reporting and loan product management initiatives.
Primary Responsibilities:
Design, develop, implement, and support quantitative models for timely completion of CECL compliant ALLL reserve business process. This also involves working closely with Risk, Finance, IT and Regulatory divisions.
Maintain a clear documentation trail of approach and process that comply with internal model documentation and validation standards.
Closely collaborate with Enterprise Risk in support of the firm’s risk management. Build and enhance various analytics models including sensitivity analysis, stress testing, value-at-risk, scenario testing, and Monte Carlo simulations with industry best practices for portfolio analytics.
Expand loan modeling including granular PD, LGD and EAD, PD correlation analysis, high-risk cohort identification and product development capabilities within Credit Administration. Provide quantitative support for credit origination and management practices, including the creation of product dashboards, application of risk migration and loss correlation analysis.
Refine and create Board of Directors reporting to incorporate key performance and risk metrics to ensure that critical decisions on risk appetite, house limit structure and deal parameters are well informed.
Remain informed of modeling research and development. This implies ensuring that SVB’s models are state of the art.
Qualifications
Master’s or PhD degree in a quantitative field such as statistics, mathematics, finance and economics.
Minimum 10 years' experiences with quantitative credit risk modeling and/or portfolio analytics in a top tier financial institution.
Demonstrated fluency in relevant U.S. and international regulatory risk management guidance such as CECL, IFRS9 and CCAR.
Thorough understanding of econometric and financial modeling techniques.
Proficiency with statistical and data analysis and programming tools such as R, SAS, Stata, SQL and Matlab.
Knowledge of relevant third party vendor credit risk/regulatory models and products is a plus.
Excellent project management, team management, oral and written communication skills.
• Minimum Education: Master’s
• Minimum Years of Experience: 5-7
• Career Level: Mid career
• Software: R, SAS, Stata, SQL and Matlab