VP, Credit Risk Modeling (Hybrid)

SMBC Group; Jersey City (NJ); Hybrid; USD 138,000 - 190,000; Full time

Benefits offered by this job

Hybrid work model

Discretionary incentive

Job summary

SMBC Group is seeking a senior quantitative analyst to advance credit risk models (PD, LGD, EAD) and stress testing frameworks. You will calibrate IRB components and operational risk CCAR models, leveraging ML/NLP to enhance predictions.

The role supports collaboration across Finance, Risk, and IT to productionize models, with a hybrid remote work option and a path to influence regulatory capital decisions.

Qualifications

• Master’s degree in statistics or related quantitative field with 7+ years of experience in analytics and modeling.

Responsibilities

• Support end-to-end development, calibration, and documentation of credit risk models (PD, LGD, EAD) for stress testing and capital planning.
• Develop stress testing models for CCAR and related regulatory scenarios.
• Participate in calibration of IRB framework models for regulatory capital, pricing, and portfolio management.
• Develop and maintain operational risk CCAR models with ML/NLP techniques to improve predictive power.
• Collaborate with Finance, Risk, and IT to productionize models and reporting workflows.

Skills

Python

SAS

R

CCAR

CECL

Credit modeling

Data analysis

Education

Master’s degree in statistics/OR

Tools

Moody’s CRD/DRD

S&P data

Trepp data

Costar data

Job description

SMBC Group is seeking a senior quantitative analyst to advance credit risk models (PD, LGD, EAD) and stress testing frameworks. You will calibrate IRB components and operational risk CCAR models, leveraging ML/NLP to enhance predictions.

The role supports collaboration across Finance, Risk, and IT to productionize models, with a hybrid remote work option and a path to influence regulatory capital decisions.