Job Details :
- Develop CCAR/DFAST stress loss models for the international secured portfolios .
- Obtain and conduct QA/QC on all data required for CCAR stress loss model development.
- Build international primary CCAR stress loss models (e.g., Interthix, account-level PD models).
- Build international benchmark CCAR stress loss models (e.g. segmented econometric models).
- Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility)
- Deliver comprehensive model documentation (e.g., Model Approval Packages, Technical Review Documents).
- Deliver presentations to regulatory constituents on all CCAR models built.