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.
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
- 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)
Preferred Previous Work Experience:
Nice to have:
Required knowledge, experience, skills and abilities: