First VP, Credit Stress Test & Economic Capital, Country & Credit Risk Management, Group Risk Management
Core
Design, develop, and enhance credit stress testing and Economic Capital (ECAP) models, methodologies, and analytical frameworks to support ICAAP and broader risk management objectives.
Role type
Senior IC quantitative risk modeler (credit stress testing & Economic Capital)
Builds
Credit stress testing engines and Economic Capital models
Domain
Banking / Credit Risk / Quantitative Finance
Deliverable
production ML models
Required skills
Credit stress testing, Economic Capital modeling, ICAAP, portfolio analytics, model validation, SAS, Python, R, SQL
Preferred skills
Mathematics, Statistics, Quantitative Finance, Engineering, Computer Science
Technologies
SAS, Python, R, SQL
Responsibilities
Design, develop, maintain, and enhance credit stress testing and ECAP models; Conduct performance monitoring and methodology enhancements; Prepare model documentation for validation and regulatory reviews; Analyze model outputs to identify portfolio vulnerabilities and capital adequacy issues; Support group-wide stress testing exercises and ICAAP activities; Perform User Acceptance Testing (UAT) for model enhancements.
Seniority
Senior, hands-on IC