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Director, PPNR Modeling (Financial Services)
Ref No.: 16-02803
Location: Los Angeles, California
Position Type:Direct Placement
Start Date: 07/27/2016
The Director of PPNR Modeling will lead the design, build, and implementation of detailed statistical and econometric models along with supporting technical infrastructure to forecast the stress scenarios for pre provision net revenue components for the U.S. IHC. Businesses include but are not limited to: Capital Markets, Wealth Management, Asset Management, and Retail Banking along with associated expense model.

This position is also responsible for the testing, validation, documentation and implementation of specific PPNR models developed under its supervision.

Primary Responsibilities include:
  • Lead the design, build, and implementation of non-regression model approaches, in particular expenses, balance sheet estimation and net interest revenue forecast. Balance sheet and net interest revenue estimation required for both wholesale trading assets and liabilities as well as retail loan and deposits.
  • Interface with front office business teams to ensure business engagement at all levels of the development process
  • Document statistical models to the degree and detail required for CCAR submissions
  • Design and implement control and reconciliation process for data elements of PPNR and financial forecasting related to CCAR.
  • Manage the production of the PPNR consolidated results, annual CCAR filing and PPNR sections of the FRY14A
  • Manage the risk identification and business mapping process for scenario design; ensure data sourcing for all identified variables
  • Support the CCAR challenge process where required
  • Analyze and recommend enhancements to existing firm processes to streamline model approach or enhance overall quality and accuracy of the process
Skills and Experience Required:
  • Proven experience performing CCAR exercises, quantitative modeling, and stress testing in the financial industry, including at least one year performing PPNR modeling and DFAST exercises.
  • Excellent communication skills to interface with front office business teams, ensuring deep business engagement at all levels of model development
  • Experience in creating Model documentation complying to CCAR standards
  • Experience in developing PPNR non-regression model approaches such as the Expense forecasts
  • Experience in developing a balance sheet forecast, both for wholesale Trading assets and/or retail loans and deposit balances
  • Experience in creating a net interest revenue estimation approach, based on forecasting interest revenue and interest expense (cost of funds) and integrating it in the PPNR methodology
  • Experience in consolidating all PPNR components: model outputs, non-models outputs, balance sheet, net interest revenue and management overlays and presenting results to senior management and front office teams
  • Experience in creating documented control points and governance around all these PPNR activities
  • Advanced degree preferred in Business Administration, Economics, or related field