What are the responsibilities and job description for the Risk Modeling Associate position at SMBC Group?
The anticipated salary range for this role is between $95,000.00 and $140,000.00. The specific salary offered to an applicant will be based on their individual qualifications, experiences, and an analysis of the current compensation paid in their geography and the market for similar roles at the time of hire. The role may also be eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.
Role Description
Create models leveraging existing bureau, commercial and consumer data. Analyze structured and unstructured data and create loss models for credit risk. Develop and manage a robust data capture to support analysis and reporting of operational risk. Measure and evaluate potential losses from counterparty credit exposure. Establish credit value adjustments and associated debit value adjustments.
Role Objectives : Delivery
Populate / tune models leveraging existing bureau, commercial and consumer data. Analyze structured and unstructured data and, using statistical, financial, BI and AI techniques, create loss models for credit risk. Populate / tune models that project the potential interest rate risk on short-term earnings and longer term equity / economic value at risk, taking into account both a static analysis of interest rate gaps and a dynamic view of changing market conditions including elements such as yield, convexity, duration and FX. Capture data to support analysis and reporting of operational risk including data to quantify potential ops risk losses. Run models to evaluate potential losses from counterparty credit exposure. Establish credit value adjustments and associated debit value adjustments. Ensure CVA and DVA are factored into all relevant models. Run model stress tests across a number of economic conditions taking into account both normal historic correlation and the potential for breakage in hedging relationships.
Role Objectives : Interpersonal
Develop relationships with units such as treasury, trading and client-facing functions to better understand the instruments and associated risks in their businesses. Develop relationships with units such as IT to improve data gathering and modeling. Support the unit's work with industry specialists, country risk managers, credit review / analysis staff and relationship managers to evaluate the efficacy of models. Begin to network within the industry through meetings, events and involvement with trade organizations to better understand emerging risk trends and modeling techniques.
Role Objectives : Expertise
Display a fundamental understanding of financial markets and economics to help create a valid set of variables and scenarios. Demonstrate solid modeling skills. Demonstrate a working knowledge of information technology and project management to assist in the creation of meaningful modeling and analysis. Have a rudimentary understanding of risk management systems across the organization to better develop relevant models. Utilize basic data management skills to improve model accuracy. Use knowledge of auditing and compliance to test the efficacy of models and create backtesting. Communicate analytical data effectively.
Qualifications and Skills
Recommended years of experience : 3
Salary : $95,000 - $140,000
