Credit Risk Management Department – Quantitative Analytics – Model Team AVP

Bank of China Limited, New York Branch•New York, NY

2d•$65,000 - $150,000•Onsite

About The Position

The Credit Risk Management Department – Quantitative Analytics – Model Team is seeking an Assistant Vice President (AVP) to lead and assist in developing and maintaining credit methodology and infrastructure. This role involves establishing and maintaining credit risk measurement methodologies, building and maintaining credit risk analytics infrastructure and tools, supporting model risk governance (including model documentation, testing, ongoing monitoring, and stress tests), and providing analytical support for credit risk-related analysis.

Requirements

Bachelor's degree in Statistics, Mathematics, Physics, Computer Science, Engineering, or other quantitative fields.
Minimum 4 years of experience in stress testing, allowances methodology, risk rating modeling, and credit risk management at a financial institution.
Demonstrated broad knowledge of credit markets and specific product knowledge including corporate loans, structured loans, leveraged loans, mergers & acquisition finance, project finance, and trade finance.
Demonstrated knowledge of accounting and capital markets.
Demonstrated knowledge in at least one of the areas: Stress testing, CECL, Rating Methodology, and fixed income pricing.

Nice To Haves

Master's degree preferred.
CPA/CFA/FRM preferred.

Responsibilities

Develop credit-related models (including risk rating models, CECL models, stress testing models), test, implement, and deliver comprehensive technical and non-technical model documentation.
Obtain and prepare model development data to support credit risk models.
Perform quantitative research to implement model changes, enhancements, and remediation plans.
Collaborate with stakeholders across business and functional teams during the model development and implementation process.
Create tools and dashboards to enhance and improve risk analysis.
Conduct analysis of implemented model shortcomings and design model enhancement plans.
Identify risks not captured by analytics, develop and implement methodologies to quantify their materiality, and design a strategic plan for better integration and management of such risks.
Support discussions with model owners, stakeholders, and regulators as a subject matter expert.
Provide training and guidance to model users.
Communicate with model users, model risk managers, and senior management regarding validation findings and remediation activities.
Independently coordinate the remediation of model validation findings and provide analytical remediation solutions.
Remediate model risk management findings by applying analytical skills and producing model findings remediation reports.
Enhance model documentation to meet model risk management requirements.
Support and guide the team in implementing activities defined in the model risk management framework and ensure adherence to it.
Maintain credit model inventory and conduct annual model reviews and ongoing performance monitoring.
Periodically evaluate and enhance models to maintain their relevance and ensure compliance with current regulatory requirements.
Collaborate with business units to identify relevant data for analyses and modeling, ensuring proper collection and retention.
Develop, enhance, implement, document, and provide ongoing expert support for the practical applications of analytics, financial economics, and quantitative methods to support management decision-making and risk management.
Conduct research and analysis to provide a micro view of risk management in a particular business line and a macro view for the bank as a whole.
Provide technical knowledge and advice to management related to quantitative analysis, modeling, and stress testing.
Develop, document, and maintain quantitative tools and models used to measure risks, including quantifying Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) for the credit review process and calculation of the allowance for credit losses.