Description
Seeking a highly self-motivated person with analytical and modelling skills to review credit, NPV and other models, including Basel II models used for the retail and commercial portfolios in support of reviews of these business areas. During model testing, the associate will work closely with business partners and model owners, leveraging statistical skills to identify model risk and potential areas of improvement to senior management. The associate will also assess the credit risk of both individual models used for various lending practices and the aggregate risk of model management environments. Strong communication skills are also required in order to write issues, summary reports, and/or presentations that represent the results of fieldwork and analyses in a non-technical manner.Responsibilities
- Review credit, Commercial Credit, NPV, Basel II, and other statistical models or analyses for accuracy, effectiveness, documentation, and compliance and evaluate the soundness and appropriateness of model theory, logic, mechanics, usage, performance, and assumptions
- Validate model implementation and model performance through independent extraction, preparation, and analysis of data
- Create queries or scripts to obtain and analyze data from the model central data repository and report on compliance with corporate policies, standards, and procedures
- Write executive reports and formulate issues based on fieldwork and analyses, then follow-up to ensure corrective actions are implemented per agreed upon timelines
- Communicate regularly with Credit Review management as well as business and risk partners including the Scoring Offices Model Governance team and Audit regarding planning, scoping, status updates, reporting, and findings
- Help establish and conduct tests on credit risk, model risk and loan review controls as implements Basel II processes. Examples include PD, LGD, EAD, and risk ratings validation and controls, as well as model validation and stress testing controls
- Identify opportunities to automate and standardize model reporting and validation tools
- Manage or assist with other Credit Review efforts and projects
- Interface with the Basel II Program on behalf of Credit Review as required
SKILLS
5 Years experience in Oracle database tables, SQL, and/or Base SAS programming (utilizing data steps, macro language, and Proc SQL). 7 Years experience in financial services, particularly with knowledge of Commercial businesses. Working knowledge and application of Basel II credit risk requirements and principles. Bachelor's degree in an analytic or quantitative field such as Statistics, Math, Operations Research, Engineering, Physics, Economics, Econometrics, Business, Accounting, or Finance. Candidates MUST have experience with Financial Services, Basel II, Oracle/SQL, Base SAS.
Preferred Qualifications:
Masters Degree or other advanced degree in analytic or quantitative field. 2 Years experience in credit lending, credit review, risk management, accounting, or audit. 1 Year experience in validation or review of credit or financial models. 1 Year experience in SAS Proc REPORT and Enterprise Guide. 1 Year experience as a statistician or in statistical modelling techniques such as linear regression, logistic regression, decision trees, neural networks, survival analysis. Advanced SAS Certification. CPA, CIA, CFA, CFP, IARCP, FRM, RMA-CRC and/or similar risk-management or financial certifications. 3 Years experience interpreting, implementing, or consulting on Basel II requirements. Strong communication and project management skills. Ability to work both independently and in project teams. Strong knowledge of statistics, modelling, and validation. Ability to interpret model results for business usage, performance monitoring, and risk assessment.
Synectics is an Equal Opportunity Employer.