Stress Test Modeler

Our client is a leading financial company seeking a STRESS TEST MODELER for a premium contract opportunity. This candidate will be responsible for building and management of stress testing models for CCAR. This includes whole cycle of data collection, specifying, developing, implementing, maintaining, and performance tracking of the client's stress testing models that are in compliance with regulatory requirements.

OVERVIEW

- Responsible for modelling as it relates to stress testing including Credit Risk, operational risk, PPNR and other modelling.
- Creation of various models for other business and/or forecasting efforts.
- Maintain ownership and develop/provide documentation for CCAR models to ensure compliance internal and external constituents including Model Risk Governance, OCC and Federal Reserve.
- Design and implementation of a model or multiple models as needed for the credit impact of macroeconomic scenarios and/or contagion events.
- Improve and maintain models for stress scenario credit loss in specific industries, leveraging or extending as appropriate the existing rating models for these industries.
- Provide on request an executive overview and summary information in addition to technical documentation.
- Define templates or other means for soliciting and reviewing management judgments that are incorporated into the models; cooperate with Enterprise Risk Stress Testing leads in interacting with management to elicit these judgments.

QUALIFICATIONS

- Master's advanced degree in finance, financial engineering, economics, mathematical statistics, engineering, or related field
- Experience in commercial and/or consumer lending preferred
- 2-5 years of specialized work experience in the complex model development, model management and/or model oversight in one or more of the following areas: risk management, market/interest rate risk management, operational risk, economic capital estimation, ALM and valuation
- Experience with model risk management and associated regulatory requirements preferred: Stress Testing, CCAR and Basel II
- Strong knowledge of financial services products (commercial loans, CRE, construction loans and residential mortgages, etc.) and processes preferred
- Proficiency in SAS, SQL
- Experience with Expert in Time Series, Linear/Logistic, Factor Analysis, and Linear Discriminant Function, ARIMA Modeling and cash flow analysis strongly preferred