Director, Credit Stress & Loss Modeling (Hybrid)

SMBC; Jersey City (NJ); Hybrid; USD 173,000 - 228,000; Full time

Benefits offered by this job

Annual discretionary incentive

Hybrid work arrangement

Job summary

SMBC Group is seeking a senior quantitative analyst to develop, validate, and implement credit risk models supporting regulatory stress testing, CECL, and capital planning. You will lead end-to-end development of PD, LGD, EAD, and loss forecasting models and collaborate across Finance, Risk, and IT to productionize models.

The role involves enhancing modeling methodologies with advanced statistics, mentoring juniors, and aligning with SR 11-7, Basel III, and CCAR standards.

Qualifications

• Master's degree required.
• 10+ years of experience in quantitative analytics and modeling.
• Experience with CCAR and regulatory stress testing.

Responsibilities

• Develop credit risk models for regulatory stress testing and capital planning.
• Lead calibration of PD, LGD, and EAD models for wholesale portfolios.
• Collaborate with MRV teams to address validation findings and ensure governance compliance.
• Mentor junior analysts and promote knowledge sharing on AI/ML and climate risk.

Skills

Python

SAS

R

CCAR

Education

Master’s degree in statistics, mathematics, applied science, or related field

Tools

Moody's CRD/DRD

S&P data

Trepp data

CoStar datasets

Job description

SMBC Group is seeking a senior quantitative analyst to develop, validate, and implement credit risk models supporting regulatory stress testing, CECL, and capital planning. You will lead end-to-end development of PD, LGD, EAD, and loss forecasting models and collaborate across Finance, Risk, and IT to productionize models.

The role involves enhancing modeling methodologies with advanced statistics, mentoring juniors, and aligning with SR 11-7, Basel III, and CCAR standards.