SMBC Group's Combined U.S. Operations (CUSO) seeks to support key Treasury functions, including PPNR/balance sheet forecasts, IRRBB, liquidity management and CCAR stress testing through quantitative model development initiatives
Requirements
- Quantitative model development, research and/or validation experience within banking, fintech, or financial service industry
- Knowledge of statistical/predictive modeling knowledge and techniques
- Proficiency in programming language such R, Python, and SAS
- Strong communication skills; The ability to translate model results into business intuition
- Strategic thinking and problem-solving abilities
Responsibilities
- Develop PPNR and balance sheet forecast models across various business lines (investment banking, trading, commercial, consumer) for the purpose of CCAR stress testing and business planning processes
- Support the model development in ALM/IRRBB domain (e.g. non-maturity deposit decay rate, beta, prepayment, etc.)
- Collaborate with model owners and model validation team to address validation findings and ensure models meet internal and external standards
- Strong partnership with across Finance, Risk and business leaders during the development, implementation and use of the quantitative models, ensuring appropriate design and use
- Align model frameworks with business objectives and regulatory requirements (SR 11-7, SR 12-7, SR 15-18, SR 15-19)
Other
- Master’s or PhD in Mathematics, Statistics, Finance, Economics, or a related field. A Bachelor’s degree with extensive experience may be considered
- Live within a reasonable commuting distance of their office location
- Participate in a Hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office
