Loss Forecasting and Stress Testing Analytics - Vice President

The Vice President, Loss Forecasting and Stress Testing role is within the CCAR / QMMF team. This group is specifically tasked with generating and managing the Cost of Credit forecasts (NCL and ACL) under alternate macroeconomic and business scenarios on a +$120BN portfolio. The VP-CCAR will be responsible for key Risk deliverables North America Cards Cards’ efforts around Comprehensive Capital Analysis & Review (CCAR/DFAST) and the Quarterly Multi-Scenario Multi-Year Forecasting / Stress Testing exercise for Branded Cards and/or Retail Services and /or PIL portfolios.

The person should be a leader – expected to leverage existing resources as well as work single handedly depending upon the dynamics of the situation in order to deliver high quality results. The individual will collaborate with Modeling, Finance, Risk Policy, Governance, Global CCAR office, and External Auditors.

Responsibilities include but are not limited to: compare and contrast macro-economic scenarios, manage and maintain model inventory for CCAR models, analyze model outputs relative to other business, ensure that the models provide rational and logical output and make adjustments / add overlays based on detailed statistical / empirical analysis where needed, reconcile detailed financial data from disparate data sources, produce summary documents and presentations, lead management reviews with business leaders, Model Risk Management and Independent Risk, aid the Global CCAR team in providing presentations and memos to regulators, and external auditors.

Utilize avenues for automation where available and drive process efficiency.

• Collaborate with Risk Modeling, Portfolio and New Account Forecasting, Data and Reporting teams.
• Be able to independently lead the team through one or multiple of the following
  • Quarterly / Monthly NCL Outlook / Plan Forecasting Process
  • Quarterly Allowance for Credit Losses (ACL), Forecasting ACLs
  • The annual stress testing processes (CCAR, Mid-cycle stress testing, Recovery Plan), and
  • Associated governance activities (Manager Control Assessment, End User Computing, Activity Risk Control Monitoring and its Assessment Units)
• Driving continuous process enhancements / standardization and automations for greater efficiencies and accuracy
• Provide training within and across teams on best practices for CCAR / QMMF and related regulatory submissions and interactions
• Review and challenge existing models, and model outputs to identify areas of improvement relative to portfolio & macro-economic trends.
• Understand the calculation of reserves, components of P&L, and the impact of CECL on CCAR results besides understanding the synergies between two processes
• Partner with Finance team to complete requests on financial planning & CCAR/DFAST results and increased integration of credit risk & PPNR results
• Create presentations with supportive analysis, storyboard results, and lead discussions with senior management, Finance heads, Independent Risk; required as part of the business review and effective challenge process.
• Establish and continually evolve standardized business and submission documentation.
• Coordinate with Independent Risk and Global CCAR Office, drive centralized reporting requirements, and communicate with Auditors and Regulators
• Partner with Risk and Finance organization to understand sources of data and continue to improve the process of defining, extracting and utilizing data.
• Identify areas of improvement in BAU and drive process efficiency through process simplification and automation (VBA, SAS, etc.)
• Manage information controls (version control, central results summary) to meet business objectives with utmost clarity and least confusion.

• Minimum Bachelors, preferably Masters, Degree in a quantitative field
• 11+ years of work experience in financial services or management consulting.
• Strong understanding of risk management. Knowledge of credit card industry and key regulatory activities (CCAR) are a plus.
• Understanding of forecasting models will be considered a significant advantage.
• CCAR / DFAST execution and submission experience is will also provide a significant advantage.
• Broad…