Vice President, Quantitative Modeling

Sumitomo Mitsui Banking Corporation•Jersey City, NJ

1d•$138,278 - $190,000•Hybrid

About The Position

SMBC Group is a top-tier global financial group with a 400-year history, offering diverse financial services. In the Americas, SMBC Group has a significant presence and provides a range of commercial and investment banking services. This role is crucial for supporting the end-to-end development, calibration, and documentation of credit risk models for stress testing and capital planning. The position involves developing stress testing models for regulatory scenarios like CCAR, calibrating credit risk grading/rating models for internal ratings-based frameworks, and developing operational risk capital and CCAR models. The role also emphasizes innovation using advanced statistical techniques, partnering with Model Risk and Validation teams, performing model performance monitoring, and supporting regulatory examinations. Collaboration with Finance, Risk, and IT teams is essential for operationalizing models. Additionally, the role includes mentoring junior analysts and promoting knowledge-sharing on emerging trends. The anticipated salary range for this role is between $138,278.00 and $190,000.00. The specific salary offered will depend on individual qualifications, experience, and market analysis. The role may be eligible for an annual discretionary incentive award. SMBC offers a competitive portfolio of benefits to its employees.

Requirements

Master’s degree in statistics, operations research, or related quantitative field
7 years of experience
Python, SAS, R, or other programming language used for quantitative analytics and modeling
CCAR, CECL
Vendor data experience such as Moody’s CRD/DRD, S&P data, Trepp data, Costar data
Wholesale credit model development knowledge and experience, including Commercial Real Estate and/or Commercial & Industrial
Statistical or econometrics modeling experiences
Data analysis

Responsibilities

Support the end-to-end development, calibration, and documentation of credit risk models (PD, LGD, EAD, loss forecasting) for stress testing and capital planning.
Develop stress testing models to assess the impact of internal and regulatory stress scenarios, including those used in the Comprehensive Capital Analysis and Review (CCAR), and design scenario based modeling frameworks consistent with applicable regulatory guidance.
Participate in the development and calibration of credit risk grading/rating models used in internal ratings based (IRB) frameworks to support regulatory capital calculation, pricing, underwriting decisions, portfolio management, and stress testing activities.
Develop and maintain operational risk capital and CCAR models, to quantify operational risk exposure under baseline and stress scenarios.
Innovate modeling approaches using advanced statistical techniques (machine learning, natural language processing) to improve predictive power and scalability.
Partner with the Model Risk and Validation (MRV) and model owners to address validation findings and ensure compliance with governance standards.
Perform ongoing model performance monitoring, including back-testing, benchmarking, and sensitivity analysis.
Document model assumptions, limitations, and remediation plans for audit and regulatory reviews.
Implement robust controls to ensure model accuracy and stability across economic cycles.
Support responses to regulatory examinations and audits, including interactions with regulatory agencies such as the Federal Reserve and the Office of the Comptroller of the Currency (OCC), to ensure models comply with SR 11 7, Basel III, and CCAR requirements.
Collaborate with Finance, Risk, and IT teams to operationalize models into production systems and reporting workflows.
Mentor junior quantitative analysts, provide technical guidance and foster professional development.
Promote knowledge-sharing on emerging trends (e.g., AI/ML applications, climate risk integration).