15 Jan
SAS Quantitative Capital Management Lead
Vacancy expired!
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Urgent Requirement: Job Title: SAS Quantitative Capital Management Lead Job Location: Omaha, NE (Remote Until Pandemic Clear) Duration: 6 months (1,040 hours) with opportunity to FTE Client: SAS Institute (financial services) Only looking for or .Job Description:We are seeking a Quantitative Capital Management Lead who has demonstrated the ability to evolve a comprehensive portfolio risk modeling framework (e.g., for stress testing, CECL, RAROC, ALM, etc.), who has led the development and implementation of such frameworks, and who has proven an aptitude for communicating model results in a meaningful way to a variety of audiences.This teammate will provide program management, will mentor others, and will enhance multifaceted models and systems. Models for capital management forecast and set reserves for credit losses (Allowance for Loan and Lease Losses), tie to financial planning and scenarioanalyses (Stress Testing), assess capital adequacy (Economic Capital), and enable diversification tactics (RAROC). The Quantitative Capital Management Lead will work with teams, senior leaders, and committees across the association to foster an effective program. Further, the lead will rely on modern and advanced techniques found in statistics, machine learning, quantitative finance and similar fields to conduct their work.QUALIFICATIONS – ESSENTIAL- Bachelor's Degree in Mathematics, Statistics or Economics (or equivalent)
- 6 years enterprise risk management, (investment) portfolio management, or asset-liability management.
- 3 years leading projects
- 5 years Developing and implementing models for these purposes
- Strong statistical acumen with in-depth knowledge of risk modeling. Experience with statistical programming languages such as R, Python, SAS, etc.
- Strong computer literacy and proficiency in data querying tools (e.g., SQL, SAS, etc.)
- Program Management
- Manage a collection of projects under the quantitative capital management program to help achieve the team’s mission. Prioritize projects tied to the program, plan for their execution, and provide daily oversight to make project choices that impact the program. Recommend changes in project scope or objectives to the VP-Risk Forecasting & Decision Sciences.
- Ensure consistent rigor and quality in model development, validation, implementation, and maintenance for projects tied to the program.
- Make certain that all program models are built and operate in accordance with the
- Association’s model governance framework
- Mentor and guide teammates working projects tied to the program
- Quantitative Capital Management
- Probability of Default (PD) & Migration
- Loss Given Default (LGD)
- Utilization
- Prepayment
- Growth
- Interest Rate Forecasts
- Lead development and implementation efforts on models designed for capital management.
- The incumbent will gather and meet business requirements, construct applicable and accurate development datasets, and explore, estimate, and test alternative approaches in order to set methodology.
- Make certain that independent and effective validation for conceptual soundness takes place prior to model implementations and establish ongoing monitoring routines and outcomes analyses.
- Good written and spoken communications skills in English and thought-leadership skills.
Vacancy expired!