VP, Quantitative Modeling & Credit Risk Analytics

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

Benefits offered by this job

Hybrid work

Job summary

SMBC is seeking a senior quantitative analyst to lead end-to-end credit risk modeling, including PD, LGD, and EAD, and to develop stress-testing frameworks aligned with CCAR and Basel III requirements.

The role involves calibrating IRB-based frameworks, operational risk models, and monitoring performance. Hybrid remote work is permitted; candidates should be within commuting distance of the office and eligible for regulatory programs.

Qualifications

• Master’s degree in statistics, operations research, or related quantitative field.
• 7+ years of experience in quantitative analytics and modeling.
• Proficiency in Python, SAS, or R; CCAR/CECL knowledge.

Responsibilities

• Develop and calibrate credit risk models (PD, LGD, EAD, stress testing).
• Build stress testing frameworks for regulatory scenarios (CCAR).
• Calibrate IRB models for regulatory capital, pricing, and portfolio management.
• Develop operational risk models and CCAR models; apply ML/NLP approaches.
• Monitor model performance, back-testing, and validation governance.

Skills

Python/SAS/R

CCAR/CECL

Quantitative analytics

Education

Master's degree in statistics/OR/related field

Tools

Moody’s CRD/DRD

S&P data

Trepp data

Costar data

Job description

SMBC is seeking a senior quantitative analyst to lead end-to-end credit risk modeling, including PD, LGD, and EAD, and to develop stress-testing frameworks aligned with CCAR and Basel III requirements.

The role involves calibrating IRB-based frameworks, operational risk models, and monitoring performance. Hybrid remote work is permitted; candidates should be within commuting distance of the office and eligible for regulatory programs.