Credit Risk Quantitative Modeling

 SMBC Group is a top-tier global financial group. Headquartered in Tokyo and with a 400-year history, SMBC Group offers a diverse range of financial services, including banking, leasing, securities, credit cards, and consumer finance. The Group has more than 130 offices and 80,000 employees worldwide in nearly 40 countries. Sumitomo Mitsui Financial Group, Inc. (SMFG) is the holding company of SMBC Group, which is one of the three largest banking groups in Japan. SMFG’s shares trade on the Tokyo, Nagoya, and New York (NYSE: SMFG) stock exchanges.

 

In the Americas, SMBC Group has a presence in the US, Canada, Mexico, Brazil, Chile, Colombia, and Peru. Backed by the capital strength of SMBC Group and the value of its relationships in Asia, the Group offers a range of commercial and investment banking services to its corporate, institutional, and municipal clients. It connects a diverse client base to local markets and the organization’s extensive global network. The Group’s operating companies in the Americas include Sumitomo Mitsui Banking Corp. (SMBC), SMBC Nikko Securities America, Inc., SMBC Capital Markets, Inc., SMBC MANUBANK, JRI America, Inc., SMBC Leasing and Finance, Inc., Banco Sumitomo Mitsui Brasileiro S.A., and Sumitomo Mitsui Finance and Leasing Co., Ltd.

 

The anticipated salary range for this role is between $213,000.00 and $235,000.00. 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

The Director of Credit Stress Loss Modeling will lead the development, validation, and implementation of credit risk models to support regulatory stress testing (e.g., CCAR/DFAST), CECL, and capital planning. This role requires in-depth expertise in model development, collaboration with cross-functional teams, and adherence to regulatory standards (SR 11-7, Basel III). The ideal candidate will combine technical mastery with leadership skills to drive high-quality model outcomes for commercial and wholesale portfolios.

Role Objectives

Model Development & Execution

• Lead end-to-end development, calibration, and documentation of credit risk models (PD, LGD, EAD, loss forecasting) for stress testing and capital planning.
• Develop stress testing models to evaluate the impact of various stress scenarios (including CCAR’s) on credit risk. Design scenario-based frameworks aligned with CCAR guidelines.
• Participate in development and calibration of risk scoring models for use in internal ratings-based (IRB) approaches, pricing, underwriting and portfolio management
• Innovate modeling approaches using advanced statistical techniques (machine learning, survival analysis) to improve predictive power and scalability.
• Partner with the Model Risk and Validation (MRV) and model owners to address validation findings and ensure compliance with governance standards.

 

Model Monitoring & Governance

• Perform ongoing model performance monitoring, including back-testing, benchmarking, and sensitivity analysis.
• Document model assumptions, limitations, and remediation plans for audit and regulatory reviews.
• Implement robust controls to ensure model accuracy and stability across economic cycles.

 

Regulatory Compliance & Collaboration

• Support responses to regulatory exams and audits, ensuring models meet SR 11-7, Basel III, and CCAR requirements.
• Collaborate with Finance, Risk, and IT teams to operationalize models into production systems and reporting workflows.

 

Team Leadership & Mentorship

• Mentor junior quantitative analysts, providing technical guidance and fostering professional development.
• Promote knowledge-sharing on emerging trends (e.g., AI/ML applications, climate risk integration).

 

Stakeholder Engagement

• Present model results, limitations, and recommendations to senior leadership and risk committees.
• Partner with business lines to align models with portfolio risk appetite and underwriting strategies.

Qualifications and Skills

Education:

• Master’s or PhD in Quantitative Finance, Economics, Statistics, or a related field. 

 

Experience:

• 8+ years in wholesale credit risk modeling, with 3+ y