Our clients are the game changers, leaders and investors who fuel the global innovation economy. They're the businesses behind the next medical breakthroughs. And the visionaries whose new technologies could transform the way people live and work.
They come to SVB for our expertise, deep network and 30 years of experience in the industries we serve, and to partner with diverse teams of passionate, enterprising SVBers, dedicated to an inclusive approach to helping them grow and succeed at every stage of their business.
The Director, Credit Risk will play a leading role in the creation, implementation and production of its quarterly UK Subsidiary IFRS9 Expected Credit Loss calculation, modelling and reporting processes. This process involves working closely with Risk, Finance, IT and Regulatory divisions. In addition, you will apply quantitative and data science skills to enhance SVB reserve models (IFRS9/CECL) and support other corporate and business unit initiatives.
Primary Responsibilities include but not limited to:
IFRS9 model implementation
Play a lead role in the design, development, implementation, and support quantitative models for timely completion of IFRS9 reserve business process.
Work with senior members of the modeling and other relevant teams to develop understanding of the IFRS 9 requirements throughout the business areas
Lead in performing User Acceptance Test (UAT) for IFRS9 platform implementation
Maintain a clear documentation trail of approach and process that comply with internal model documentation and validation standards for the IFRS9 models and processes
Quarterly IFRS9 reserve process execution including parallel runs, IFRS9 committee package preparation
Execute the IFRS9 model on Platform
Run ad hoc analyses for qualitative adjustment
Prepare material for IFRS9 committee presentation
Prepare modeling related SOX control material
Other Modeling projects and ad hoc support
Expand loan modeling including granular PD, LGD and EAD, PD correlation analysis, high-risk cohort identification and product development capabilities within Credit Administration. Provide quantitative support and tools to improve business decision making and management practices, and new product development
Provide reports/model performance to regulators/auditors
Master's or PhD degree in a quantitative field such as statistics, mathematics, finance and economics.
Minimum 10 years' experiences with quantitative credit risk modeling and/or portfolio analytics in a top tier financial institution.
Demonstrated fluency in relevant U.S. and international regulatory risk management guidance such as CECL, IFRS9 (such as PD, LGD, EAD) and CCAR
Thorough understanding of econometric and financial modeling techniques.
Proficiency with statistical and data analysis and programming tools such as R, SAS, Stata, SQL and Matlab.
Knowledge of relevant third-party vendor credit risk/regulatory models and products is a plus.
Excellent project management, team management, oral and written communication skills.
