Credit Risk Analytics Model Vp/Svp

The position will assist the team lead in developing and maintaining credit risk methodology and infrastructure. The main responsibilities include establishing/maintaining credit risk measurement methodologies, building and maintaining credit risk analytics infrastructure and tools, as well as providing on-going analytical support for credit risk related analysis

Job Duties

Include but are not limited to:

Credit Risk Measurement and Tools Development

• Develop, enhance and maintain various credit measurement methodologies including but not limited to probability of default (PD), loss given default (LGD) and exposure at default (EAD) used for the Current Expected Credit Loss (CECL) estimates.
• Establish and update model performance monitoring metrics as well as business risk measures to ensure that the banks risk level is in line with its risk appetite.
• Provide training and guidance to FLUs and Credit Analysts for model implementation and production
• Develop and enhance credit risk management systems and tools
• Develop sensitivity and scenario analysis to estimate the impact of macro-economic variables on expected credit losses.

Model Validation

• Remediate model risk management findings
• Enhance model documentation to meet model risk management requirement

Job Requirements

• 7 years of loss forecasting, risk modeling, credit risk management and consumer lending experience within financial services, including minimum 2 years of exposure to CECL, and 5 years of credit risk model experience
• Demonstrate US GAAP and IFRS accounting knowledge and capital market knowledge, as well as expertise in ALLL/CECL, Stress Testing, or Rating Methodology
• Demonstrate sound knowledge of credit markets and specific products knowledge including corporate loans, structured loans, leveraged loans, mergers & acquisition finance, project finance and trade finance
• Bachelor’s degree is required with Engineering/Mathematics/Statistics/Economics majors; Master’s degree preferred
• CFA/FRM is preferred
• Demonstrate solid understanding of CECL accounting standards and credit risk vendor models such as Moody’s Impairment Studio or RiskCalc

The salary ranges for the VP position is $110,000.00-$230,000.00, and for the SVP position is $150,000.00-$280,000.00. Actual salary is commensurate with candidate’s relevant years of experience, skillset, education and other qualifications.