Vice President – PPNR Modelling Specialist
Standard / Permanent
FINANCE ACCOUNTS ET MANAGEMENT CONTROL
- Support BNPP in its efforts to assist with the model development, deployment, and validation of statistical and financial models
- Develop and enhance preliminary models and approaches (in partnership with LOBs and functional areas as applicable) to support stress testing and economic capital.
- Be responsible with data collections, verification, and assembly
- Performing stress testing, back testing, sensitivity analysis, scenario analysis, etc.
- Collaborate with key stakeholders to conduct analysis on various topics and help develop potential solutions and/or approaches.
- Assist in the preparation of regulatory document submissions and interact with regulatory bodies as needed.
- Prepare model documentation and validation reports as needed
- Support efforts in the development of new models, analytic processes, or system approaches
- Assist with reporting as needed
- Graduate or post-graduate degree in a quantitative field including Statistics, Econometrics, Economics, Engineering, Mathematics or related field or equivalent experience.
- Hands-on experience with econometric modeling techniques (regression, time-series, volatility, Monte Carlo, and multivariate models) and statistical modeling.
- Proven experience in developing statistical models in the financial services industry including loss estimation, PPNR, and RWA (Credit, Counterparty or Market) forecasting
- Self-starter, ability to work independently in a fast paced environment and deliver solid action oriented results quickly
- 5 + years of experience in quantitative roles in Financial Services industry (capital markets knowledge preferred)
- 5 + years of statistical analysis and modeling using statistical software using SAS
- 2 + years of experience with MS SQL
- Excellent problem solving analytical skills, detail-orientation, independent thinking, and organizational skills
- Previous experience dealing with model validation groups
- Business sense in order to understand quantitative results within the context of the bank's strategy.
- Strong quantitative and statistical skills (time series analysis, logistic/ linear regression, and segmentation).
- Working knowledge of current regulatory landscape (i.e., CCAR, Basel.
- Ability to work on multiple projects at the same time and high-level of attention to detail
- Strong verbal and written communication skills and strong interpersonal skills with the ability to articulate assumptions, methods, and results to peers and management
- Strong attention to detail
- Strong verbal and written communication skills
- Ability to adhere to strict project and production deadlines, showing strong planning and organization skills
- Proven Ability to adhere to strict project and production deadlines
- Previous experience in developing, validating, and maintaining stress testing / forecasting models for various economic scenarios highly desirable
- Experience with CCAR, DFAST, and stress testing and time series modeling is a definite plus.
- Experience with Visual Basic and strong Excel formula and template creation proficiency is a plus
- Experience with Capital Markets and Investment Banking highly desirable.
- Not Applicable