Director, Credit Stress & Risk Modeling (Hybrid)

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

Benefits offered by this job

Annual incentive

Hybrid work model

Competitive benefits

Job summary

SMBC Group is seeking a seasoned quantitative analyst to develop, validate, and implement credit risk models supporting regulatory stress testing, CECL, and capital planning. The role includes leading end-to-end development for wholesale credit models, PD/LGD/EAD, and loss forecasting within a robust governance framework.

The position emphasizes collaboration with MRV teams, productionizing models, and mentoring junior analysts.

Qualifications

• Master’s degree plus 10 years of experience.
• Experience with CCAR and regulatory stress testing frameworks.
• Experience with data sources such as Moody’s CRD/DRD, S&P data, Trepp data, CoStar datasets, and wholesale credit modeling (CRE and/or C&I).

Responsibilities

• Develop, validate, and implement credit risk models to support regulatory stress testing, CECL, and capital planning.
• Support credit grading model development for SMBC’s Wholesale Credit portfolios and lead end-to-end development, calibration, and documentation of credit risk models (PD, LGD, EAD, loss forecasting).
• Develop stress testing models to assess macroeconomic scenarios (CCAR) and design scenario-based frameworks per regulatory guidelines.
• Participate in development and calibration of risk scoring models for IRB, pricing, underwriting, and portfolio management.
• Enhance modeling methodologies using machine learning and survival analysis to improve predictive performance and scalability.
• Collaborate with MRV teams to address validation findings and ensure governance compliance.
• Monitor model performance through back-testing, benchmarking, and sensitivity analysis; document assumptions and remediation plans for audits.
• Implement robust controls to ensure model accuracy across economic conditions and support regulatory exams; adhere to SR 11-7, Basel III, CCAR.
• Partner with Finance, Risk, and IT to productionize models and integrate them into reporting; mentor junior analysts and share knowledge on AI/ML and climate risk.

Skills

Python

SAS

R

Education

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

Job description

SMBC Group is seeking a seasoned quantitative analyst to develop, validate, and implement credit risk models supporting regulatory stress testing, CECL, and capital planning. The role includes leading end-to-end development for wholesale credit models, PD/LGD/EAD, and loss forecasting within a robust governance framework.

The position emphasizes collaboration with MRV teams, productionizing models, and mentoring junior analysts.