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Job Description
Senior Manager- Loan Modeling is a newly created role within the Centralized Financial Model Development (FMD) Team. The candidate will be responsible for developing and maintaining the firm's Loan Models and Loan Modeling Framework (Funded, Unfunded, Attrition/Runoff). This role is responsible to design and develop pre-provision net revenue (PPNR) loan forecasting models used in bank stress testing (CCAR) and in Business as Usual (BAU) forecasting processes. The leader will be responsible for establishing a fit-for-purpose models, with strong governance, analytics and documentation that aligns to SR 11-7 and SR 15-19. The candidate will support Head of Financial Model Development (FMD) and Director of Loan Modeling in loan forecasting and business as usual modeling, and analysis around capital, ALM/Liquidity, Stress Testing, Recovery and Resolution, FTP and other business and regulatory exercises. This is an individual contributor role that over time will grow in responsibility.
Responsibilities
Responsible to build and own new and existing loan forecasting models which cover total balance, commitment, unfunded, funded, attrition/runoff and prepayment model components
Work with business and CCAR stakeholders regarding current and/or proposed PPNR models; working with businesses, risk, and finance teams to submit and validate data and analyze the consolidated results; production of the final regulatory 14A submission and data quality assurance of the submission; and partnering with other CCAR teams such as documentation, process or review and challenge to provide and analyze results.
Build models that align to risk-based segments as well as business view to produce comprehensive loan forecasts that can cover various Base and Stress scenarios and align to CECL and loss forecasting team
Conduct specific aspects of the model development life cycle. The model development life cycle includes data acquisition, assessing data integrity, model development, documentation, implementation assistance and assisting with closing assurance provider issue related to the model.
Develops and manages macroeconomic, PPNR, and capital models and communicates with internal/external internal risk and business partners
Assist in leading and developing an effective team through communication, performance management, development plans and reward & recognition practices. Cultivate an environment that supports diversity and reflects SVB values.
Runs global large-scale macroeconomic vendor models (i.e., Moody's Analytics, Markit Macroeconomic Advisors, Adecco/Aladdin, Empyrean, Oxford Economics etc.)
Runs PPNR and capital models during CCAR production and for effective challenge processes
Have deep understanding of stress testing methodology and financial modelling, especially around aspects of balance sheet, ALM and revenue projections
Collaborates with model validation, Credit Team, data team, other modeling teams and audit.
Will have to make presentations to internal governance committees and regulatory agencies and create presentation materials and documents.
Updates Internal Procedures and Guidelines documents to make sure the group's stress testing processes are up to date and model development documentation is aligned to SVB MRM policy and SR 11-7 and SR 15-19
Maintains the process flows updated and saves operational/governance controls
Requirements
9+ years of relevant business/academic experience in Quantitative modeling and model development, model implementation, or model validation experience. Strong understanding of model development processes as well as differences between Quantitative and Qualitative model approaches
Prior experience at CCAR filing institution or Large Financial Institution (LFI) presenting to regulators, model validators and auditors modeling methodology and model development decisions and documentation. Including Management presentation materials and effective challenge
7 to 10 years of related experience in a Commercial Bank, including: quantitative modeling, behavioral modeling, fixed income security analysis, financial modeling, computer programming and database development; or a combination of education and experience.
Knowledge of model forecasting and statistical modeling approaches such as linear regression model, time series, and error-correction models, GARCH (OLS, VAR, Cointegration, etc.)
Ability to program in statistical/mathematical programs such as SAS, R, Python, RATS, STATA and Excel etc.
Result oriented, team player, can deliver on time under pressure, attention to detail, well organized, and able to complete tasks independently to high quality standards
Ability to prepare and present reports and presentations to all levels of stakeholders
Expert knowledge of SR 15-19/18 and SR 11-7 regulatory guidance for model risk management, CCAR stress testing and regulatory capital
Master's degree in highly quantitative and analytical fields such as statistics, economics, econometrics, applied mathematics, physics, quantitative finance or related field is required. A PHD, MFE, MS, MBA and/or CFA is preferred.
A solid understanding of mortgage, consumer, and commercial loans, and retail and wholesale deposits and borrowings.
Expert understanding of ALM theory and practice Strong communication and interpersonal skills, self-motivated/results-oriented, with the ability to function effectively with deadlines and work within a team environment with minimal supervision.
A solid understanding of mortgage, consumer, and commercial loans, and retail and wholesale deposits and borrowings.
Expert understanding of ALM theory, Credit Risk Modeling and practice Strong communication and interpersonal skills, self-motivated/results-oriented, with the ability to function effectively with deadlines and work within a team environment with minimal supervision.
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Equal Employment Opportunity
Silicon Valley Bank is an equal opportunity employer and is dedicated to expanding its commitments and investments to create a more diverse, equitable and inclusive company culture and innovation ecosystem. We are strongly committed to the values and policy of equal employment opportunity across our employment practices.
Silicon Valley Bank UK Limited is registered in England and Wales at Alphabeta, 14-18 Finsbury Square, London EC2A 1BR, UK (Company Number 12546585). Silicon Valley Bank UK Limited is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and Prudential Regulation Authority (Firm Reference Number 543146). Details about the extent of our regulation by the Prudential Regulation Authority are available from us on request.
