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Model Risk Analyst
Sumitomo Mitsui Financial Group
New York, NY, United States
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Overview
SMBC is seeking a Quantitative Analyst to play an active role in supporting the following:
DFAST Regulatory Submission:
Develop, test and document DFAST stress testing models such as PPNR and credit loss forecasting models.
Provide all required DFAST model documentation for reviews and deliver presentations to regulatory constituents on all DFAST models built & other risk systems developed.
Compile various metrics for reporting to senior management. Participate and lead meetings with other stakeholders.
Maintain and update models in each filing cycle.
Resolve validation findings.
Perform model performance monitoring.
Perform model impact analysis. Calculate stress buffer on capital ratios.
Assist Credit risk RWA and BHC capital ratio calculation.
Document capital plan, DFAST methodology.
Create DFAST related process flow diagram
Prepare materials for capital committee meeting and complete meeting minute.
Perform data analysis and reconciliation checks and mapping on subsidiaries financial data.
BHC/ NY Branch Risk Management projects:
Lead the management of regulatory projects geared towards enhancing risk management capabilities for the BHC and branch. This would involve project management and development of methodologies.
a) Documentation: Assist in analyzing and documenting processes and systems within the DFAST & other regulatory work streams (market risk, credit risk, compliance etc.)
b) Development & Design:
Develop firm-wide emerging risk stress testing. Develop market risk stress testing scenarios and enhance credit risk stress testing model for each subsidiary. Conduct research on products and predict risk factors’ behavior under each risk scenario. Meet with business lines to understand business strategy, existing risk framework and risk mitigant.
c) Reporting: Maintain project plans and collaborate with other groups on tracking the status of projects
• DFAST Regulatory Submission 40%
• BHC/ NY Branch Risk Management projects 40%
• Adhoc model development assignments, data management, and other regulatory related activities 20
Responsibilities
Primary Key Functions
• Should comply promptly to SMBC work hours and office policies.
• Should be able to run/understand linear/multiple regressions excel and/or R and understand the various statistical testing in relevance to regression models.
• Should be experienced with econometric modeling as it pertains to PPNR and Credit.
• Should be competent with Excel and be able to develop and/or validate intricate complexities with ease and conduct reconciliation of technical specifications.
• Review technical specifications, documentation, and reports related to models (e.g., R code, Excel implementation, and statistical metrics).
• Conduct development of model reports submitted to validation teams; report results of review to the appropriate committee.
• Should be able to perform gap analysis.
• Develop policies, procedures and capital plans.
• Be able to articulately perform technical writing exercises which would pertain to model documentation for validation and/or examiner submission.
• Should have an advanced understanding of business processes and driving alignment across multiple groups.
• Should have a proven track record of successful project management
• Should have the ability to synthesize key business dependencies
• Should have the ability to judge quality of data and its sources
• Excellent interpersonal skills e.g., meeting facilitation, stakeholder influence/management
Other Competencies
-Assist with the creation of management reports and PowerPoint presentations for various DFAST and Capital related projects.
-Understand the models (i.e., technical construct and implementation), as well as how the model is used
-Work with model owners and model developers in determining the status of issues around models.
-Conduct research as needed (e.g., model development and model performance industry practices; regulatory issues, etc.)
-Interact with the business managers and developers. Provide model governance to the assigned model inventory. Present results to senior management.
• Proficiency in R or python is preferred.
• Good fundamental knowledge of interest rate derivatives is preferred
Qualifications
-Advanced degree in a quantitative field such as finance, mathematics, statistics, financial engineering, economics, business etc.
• Minimum 3+ years of relevant work experience in financial services industry.
• Excellent written and verbal communication skills, (in particular, an ability to communicate technical concepts to non-technical audience)
• Proficient with Microsoft Excel, Word, Visio, Powerpoint, MS Project and R
• Good Understanding of Software Development Lifecycle (SDLC)
• Related experience in relevant applied modeling techniques and modeling
• Experience working with large and complex data sets
• Strong analytical skills, both qualitative and quantitative
• Intellectual curiosity; superior problem-solving abilities and attention to detail; and prompt follow-through
• Knowledge of US Basel III, SR 09-1, SR12-7, SR 14-3, SR11-7, and regulatory issues a plus
MS/MSc in Finance/Math/Financial Engineering; CFA; FRM
• Credible technical and quantitative analysis skills
• Ability to climb fast learning curves in areas of limited prior experience
• Inventive and straight-forward problem-solving style
• Strong communication skills, especially written communications
• Effective interpersonal skills and influence competencies
• Present complex issues in a clear and concise manner
• Work simultaneously across multiple cross-functional efforts