Credit Risk Management Department – Quantitative Analytics – Model Team AVP

Bocusa; New York, Northern (NY, KY); Hybrid; USD 65,000 - 150,000; Full time

Job summary

Bank of China in New York seeks an experienced credit risk professional to lead the development and maintenance of credit risk models and analytics infrastructure. The role covers CECL, stress testing, risk rating models, and governance across validation, documentation, and implementation.

The ideal candidate has strong quantitative skills, 4+ years in financial risk, and familiarity with corporate finance products.

Qualifications

• Bachelor’s degree in Statistics/Mathematics/Physics/Computer Science/Engineering or other quantitative fields required; Master’s preferred.
• 4+ years of experience in stress testing, allowances methodology, risk rating modeling and credit risk management at a financial institution.
• CPA/CFA/FRM preferred; broad knowledge of credit markets and products including corporate loans, structured loans, leveraged loans, M&A finance, project finance and trade finance.

Responsibilities

• Develop credit risk models (including CECL and stress testing) and document them comprehensively.
• Prepare model development data and support data readiness for model implementation.
• Perform quantitative research to implement model changes and remediation plans.
• Collaborate with stakeholders during model development; build tools and dashboards for risk analysis.
• Identify model shortcomings and design enhancement plans; quantify uncaptured risks and integrate them into strategy.
• Support model owner discussions and provide training to model users.
• Coordinate remediation of model validation findings and enhance documentation to meet framework requirements.
• Maintain model inventory and perform annual reviews and ongoing performance monitoring.

Skills

Quantitative analysis

Stress testing

Model development

Regulatory compliance

Data analysis

Education

Bachelor's degree in quantitative field

Master's degree preferred

Job description

Introduction

Established in 1912, Bank of China is one of the largest banks in the world, with over $3 trillion in assets and a footprint that spans more than 60 countries and regions. Our long-term outlook, institutional weight and global breadth provide our clients with a stable and reliable financial partner, whether in Corporate or Personal Banking or our Trade Services, Commodities, Financial Institutions and Global Markets lines of business.

Overview

The position will lead and assist in developing and maintaining credit methodology and infrastructure. Main responsibilities include establishing/maintaining credit risk measurement methodologies, building and maintaining credit risk analytics infrastructure and tools, support the model risk governance (model documentation, testing, ongoing monitoring, stress tests, etc.), as well as providing on-going analytical support for credit risk related analysis.

Responsibilities

Credit Risk Model Development:

• Develop credit related models (including but not limited to risk rating models, CECL model, stress testing models), test, implement and deliver the comprehensive technical and non-technical model documentation.
• Obtain and prepare model development data in support of standing up credit risk models.
• Perform quantitative research to implement model changes, enhancements and remediation plans.
• Work with stakeholders across business and functional teams during model development and implementation process.
• Create tools and dashboards which can enhance and improve the risk analysis.
• Conduct analysis of the implemented model short-comings and design model enhancement plans.
• Identify risks not captured by analytics, develop and implement methodology to quantify the materiality, and design a strategic plan to better integrate and manage such risk
• Support discussions with model owner, stakeholders and regulators as a subject matter expert
• Provide training and guidance to model users

Support Model Validation:

• Communicate with model users, model risk manager and senior management regarding validation findings and remediation activities
• Independently coordinate the remediation of model validation findings and provide analytical remediation solutions
• Remediate model risk management findings via applying analytical skills and produce model findings remediation report
• Enhance model documentation to meet model risk management requirement
• Support and drive the team to implement the activities defined in model risk management framework and ensures that adherence to model risk management framework

Model Performance and Ongoing Monitoring:

• Maintain credit model inventory and conduct annual model review and ongoing performance monitoring
• Periodically evaluates and enhances the models to maintain their relevance and ensure compliance with current regulatory requirements.
• Collaborates with business units to identify the relevant data used in analyses and modeling and to ensure that it is collect and retained.
• Develops, enhances, implements, documents and provides ongoing expert support for the practical applications of analytics, financial economics, and quantitative methods in support management decision making and risk management.

Quantitative Analysis:

• Conducting research and analysis to provide a micro view of risk management in a particular business line and a macro view of risk management for the bank as a whole
• Provides technical knowledge and advice to management related to quantitative analysis, modeling and stress testing.
• Develops, documents, and maintains quantitative tools and models used to measure risks, including but not limited to quantify the Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) to be used in the credit review process and in the calculation of the allowance for credit losses.

Qualifications

• Bachelor's degree in Statistics/Mathematics/Physics/Computer Science/Engineering or other quantitative fields required, Master's preferred
• Minimum 4 years of experience in stress testing, allowances methodology, risk rating modeling and credit risk management at a financial institution
• CPA/CFA/FRM preferred
• Demonstrate broad knowledge of credit markets and specific products knowledge including corporate loans, structured loans, leveraged loans, mergers & acquisition finance, project finance and trade finance, and accounting and capital market knowledge
• Demonstrate knowledge in at least one of the areas: Stress testing, CECL, Rating Methodology, and fixed income pricing

Pay Range

Actual salary is commensurate with candidate’s relevant years of experience, skillset, education and other qualifications.

USD $65,000.00 - USD $150,000.00 /Yr.