<p>Credit Stress Loss Quantitative Modeling Lead</p> <p>Job Level: Executive Director</p> <p>Job Function: Reporting & Analytics</p> <p>Location:</p> <p>New York, NY, US, 10172</p> <p>Employment Type: Full Time</p> <p>Requisition ID: 5203</p> <p>SMBC Group is a top-tier global financial group. Headquartered in Tokyo and with a 400-year history, SMBC Group offers a diverse range of financial services, including banking, leasing, securities, credit cards, and consumer finance. The Group has more than 130 offices and 80,000 employees worldwide in nearly 40 countries. Sumitomo Mitsui Financial Group, Inc. (SMFG) is the holding company of SMBC Group, which is one of the three largest banking groups in Japan. SMFG's shares trade on the Tokyo, Nagoya, and New York (NYSE: SMFG) stock exchanges.</p> <p>In the Americas, SMBC Group has a presence in the US, Canada, Mexico, Brazil, Chile, Colombia, and Peru. Backed by the capital strength of SMBC Group and the value of its relationships in Asia, the Group offers a range of commercial and investment banking services to its corporate, institutional, and municipal clients. It connects a diverse client base to local markets and the organization's extensive global network. The Group's operating companies in the Americas include Sumitomo Mitsui Banking Corp. (SMBC), SMBC Nikko Securities America, Inc., SMBC Capital Markets, Inc., SMBC MANUBANK, JRI America, Inc., SMBC Leasing and Finance, Inc., Banco Sumitomo Mitsui Brasileiro S.A., and Sumitomo Mitsui Finance and Leasing Co., Ltd.</p> <p>The anticipated salary range for this role is between $235,000.00 and $265,000.00. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.</p> <p>Role Description</p> <p>This role will participate in the development and implementation of advanced credit risk stress testing models to assess and mitigate financial risks across the organization under various stress scenarios. This role will also involve managing a team of quantitative analysts, ensuring compliance with regulatory standards (e.g., SR 11-7, SR 12-7, SR 15-18, SR 15-19), and optimizing models for portfolios (focusing on commercial and wholesale lending). The ideal candidate will combine technical expertise in risk modeling with strategic oversight to drive data-driven decision-making.</p> <p>Role Objectives</p> <ul> <li> <p>Model Development & Strategy</p> </li><li> <p>Lead the end-to-end development, implementation, and calibration of credit risk models (PD, LGD, delinquency/default, and loss) for use in loss forecasting, CECL, regulatory capital planning (CCAR), and underwriting.</p> </li><li> <p>Develop stress testing models to evaluate the impact of various stress scenarios (including CCAR's) on credit risk.</p> </li><li> <p>Innovate modeling techniques (e.g., machine learning, econometric approaches) to enhance predictive accuracy and scalability.</p> </li><li> <p>Present model methodologies and outcomes to executive leadership and risk committees.</p> </li><li> <p>Align model frameworks with business objectives and regulatory requirements (SR 11-7, SR 12-7, SR 15-18, SR 15-19),).</p> </li><li> <p>Model Validation, Implementation, and Controls</p> </li><li> <p>Coordinate with Model Risk and Validation (MRV) and model owners to address model risk findings and ensure models pass rigorous validation processes to meet internal and external standards. Resolve validation findings within agreed timelines and ensure adherence to model governance frameworks (e.g., model tiering, change control)</p> </li><li> <p>Collaborate with risk analytics and technology groups to implement models.</p> </li><li> <p>Perform ongoing monitoring to ensure accuracy and reliability.</p> </li><li> <p>Monitor model performance through back-testing and sensitivity analyses, recommending adjustments to reflect changing economic conditions.</p> </li><li> <p>Establish controls and testing procedures to identify risk-related issues, set up action plans to mitigate risks, and maintain the integrity of the models.</p> </li><li> <p>Document the model development and ongoing performance monitoring procedures to ensure transparency and reproducibility.</p> </li><li> <p>Regulatory & Stakeholder Engagement</p> </li><li> <p>Assist in responding to regulatory requests and internal audit reviews, ensuring compliance with all requirements.</p> </li><li> <p>AI Technology Integration</p> </li><li> <p>Utilize next-gen quantitative approaches (AI/ML), programming routines, and other econometric analyses to facilitate the model development.</p> </li><li> <p>Use new AI technologies to establish platforms that streamline the model development process and enhance data quality.</p> </li><li> <p>Collaborate with credit, finance, and IT teams to integrate models into business processes and systems.</p> </li><li> <p>Team Leadership & Training</p> </li><li> <p>Manage and mentor a team of quantitative analysts and data scientists, fostering collaboration and professional growth.</p> </li><li> <p>Assist with workforce planning, including talent acquisition and succession planning for critical modeling roles</p> </li><li> <p>Train team members and share knowledge to build a strong, informed team.</p> </li><li> <p>Stay abreast of industry trends (e.g., climate risk modeling, AI applications) and benchmark against peer institutions.</p> </li></ul> <p>Qualifications and Skills</p> <p>Education:</p> <ul> <li>Master's or PhD in Quantitative Finance, Economics, Statistics, or a related field. A Bachelor's degree with extensive experience may be considered. </li></ul> <p>Experience:</p> <ul> <li>12+ years in wholesale credit risk modeling, with at least 7 years in a leadership role within banking, fintech, or financial services. </li><li>Proven experience in developing models for commercial/wholesale portfolios such as C&I </li><li>Proven track record in developing regulatory-compliant models (e.g., CCAR, Basel III, CECL). </li></ul> <p>Technical Skills:</p> <ul> <li>Proficiency in programming (Python, R, SAS), big data tools (PySpark, Hadoop), and cloud platforms (e.g., AWS, Azure). </li><li>Deep knowledge of statistical techniques (e.g., linear regression, logistic regression, time series analysis, decision trees, clustering analysis, Monte Carlo simulations). </li></ul> <p>Certifications (Preferred):</p> <ul> <li>FRM, CFA, CQF or CRC (Credit Risk Certification). </li></ul> <p>Soft Skills:</p> <ul> <li>Strong communication skills to translate complex models for non-technical audiences. </li><li>Strategic thinking and problem-solving abilities. </li><li>Ability to navigate complex regulatory landscapes and influence senior stakeholders. </li></ul> <p>#LI-RCH</p> <p>SMBC's employees participate in a Hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office. SMBC requires that employees live within a reasonable commuting distance of their office location. Prospective candidates will learn more about their specific hybrid work schedule during their interview process. Hybrid work may not be permitted for certain roles, including, for example, certain FINRA-registered roles for which in-office attendance for the entire workweek is required.</p> <p>SMBC provides reasonable accommodations during candidacy for applicants with disabilities consistent with applicable federal, state, and local law. If you need a reasonable accommodation during the application process, please let us know at accommodations@smbcgroup.com.</p> <p>Nearest Major Market: New York City</p>