SMBC Group

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Senior Portfolio Analyst - SMBC Risk Management Department

Senior Portfolio Analyst - SMBC Risk Management Department

Job Locations 
US-NY-New York
Career Category 
Risk Management
Position ID 
2017-0430
Corporate Title 
Associate
Posting Date 
7/28/2017
Type 
Full-Time

More information about this job

Overview

SMBC's Risk Management Department is seeking a Senior Portfolio Analyst to join its credit risk management team. Responsibilities include the preparation and enhancement of credit stress testing activities and related reporting to senior management. Additionally, the role requires an in-depth understanding of credit models developed by Tokyo Head Office and managed locally to be aligned with U.S. regulations including the monitoring of model performance.

The analyst will need to run queries to extract data from internal systems in order to generate various reports for internal and regulatory purpose, and produce documents which assure the accuracy of data provided as part of SMBC enhanced Data Governance in terms of credit risk management area.

 

Responsibilities

Credit Stress Test:

- Run the stress test at least semi-annually based on SMBC's TOP Emerging Risks Scenarios

- Translate narrative scenario into input parameters for models and apply parameters to SMBC's Credit portfolio 

- Enhance the process to run stress test on an ad-hoc basis as risk incidents occur

- Enhance the scope of analysis such as reverse stress testing and/or sensitivity analysis

- Enhance the calculation method such as implementing Monte Carlo simulation to capture concentration risk

 

Model Documentation:

- Develop and maintain Credit Model Documents to comply with SR11-7 regulation

- Many of the models are developed in Tokyo Head Office as Global Models. The credit risk management group is required to rewrite/revise model documents or translate the original version from head office which may be written in Japanese. The person in this position is expected to understand the original model development documentation prepared by head office (with the support of bilingual staff) and rewrite/revise documents to bring them in line with U.S. regulation, specifically SR11-7.

- Additionally, the person in this position will monitor the model performance on a periodic basis (frequency of monitoring for each model differs depending on materiality)

 

Qualifications

Preferred Previous Work Experience:

  • Minimum 5-7 years of relevant work experience in financial services industry in the quantitative space
  • Prior experience with model governance tasks is a plus (Design and execute benchmark test and sensitivity test on model outputs, conduct on-going model performance monitoring and remediate model risk findings)
  • Prior experience with Credit Stress Testing is a plus (Design and execute parameter seting from Scenario, execute quantitative testing)
  • Prior experience with Documenting Model description and methodology is a plus (Describing above in written documents)

Preferred Education/Licenses/Certifications/Registrations:

  • Advanced degree (MS/MSc) in a quantitative field such as economics, finance, statistics, mathematics, physics; CFA; FRM preferred

Must have:

  • Critical and Logical thinking ability
  • Proficiency with Microsoft Office Suite (Word, Excel, Access, PowerPoint)
  • Strong verbal and written communication skills. Ability to explain complex quantitatively based technical matters clearly, accurately and concisely. 

Nice to have:

  • SQL, R and other programming language is huge plus
  • Good communication skills, with the ability to work with business units, model developers and validators

Required knowledge, experience, skills and abilities:

  • Experience in model validation or model development
  • Experience working with large and complex data sets
  • Strong analytical skills, both qualitative and quantitative 
  • Excellent written (in English) and verbal communications skills 
  • Knowledge of credit grading, loss reserve, and/or stress testing models 
  • Intellectual curiosity; superior problem-solving abilities and attention to detail; and prompt follow-through 
  • Knowledge of SR11-7, CCAR and regulatory issues a plus