VP, Head of Property overseeing P&L and market strategy for Property insurance in Belgium & Netherlands. Leading underwriting excellence and team development within Sompo's framework.
About the role
- Credit Risk Modeler leading quantitative modeling and developing PD/LGD/EL models for risk analyses at a financial institution. Joining Centralized Modeling, Analytics, and Operations Group within Enterprise Risk Management.
Responsibilities
- Lead a quantitative modeling team to develop PD/LGD/EL models to support credit risk analytical processes including Basel/CCAR/CECL/IFRS9/ICAAP for wholesale portfolio
- Be hands-on and be able to independently develop credit risk models
- Review and enhance credit risk analytical methodology including modeling choices in line with expanding business and regulatory requirements
- Review and verify key model assumptions and limitations with model owners
- Review model outputs with properly justified opinions and judgments by experts from credit risk managers to capture forward-looking financial market and macro-economic outlooks
- Implement internally developed models on risk analytical library platform
- Streamline the existing modeling and analytical process; increasing the pace of execution to meet the needs of the business
- Effectively mentor and manage junior and senior modelers in a hybrid environment to deliver results
- Work in close partnership with the three lines of defense functions, such as model governance, Corporate Audit and Financial Regulatory Assurance to ensure appropriate governance and control infrastructure for credit risk analytics
- Prepare and present required reports/reviews to model risk management, senior management and global regulators
Requirements
- Master’s degree, prefer PhD, in a quantitative field such as Economics, Statistics, Mathematics, Finance or equivalent
- 8+ years of experience for MS, 5+ years of experience for PhD, of developing credit risk modeling for wholesale portfolio in a financial institution
- Strong programming skills in Python/R/SAS etc.
- Demonstrated experience working with model development teams, analytical library development team and technology
- Proven ability to manage a team of junior and senior modelers
Benefits
- our retirement savings plan (401K) with company match
- insurance coverage including basic life, medical, dental, vision, long-term disability, and other optional additional coverages
- paid-time off including vacation, sick leave, short term disability, and family care responsibilities
- access to our Employee Assistance Program
- incentive compensation including eligibility for annual performance-based awards
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