Credit Grading Model Development

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

Create models leveraging existing bureau, commercial and consumer data. Analyze structured and unstructured data and create loss models for credit risk. Develop and manage a robust data capture to support analysis and reporting of operational risk. Measure and evaluate potential losses from counterparty credit exposure. Establish credit value adjustments and associated debit value adjustments.

Role Objectives

• Create models leveraging existing bureau, commercial and consumer data.
• Analyze structured and unstructured data and, using statistical, financial, BI and AI techniques, create loss models for credit risk
• Using a number of modeling techniques and data structures, project the potential interest rate risk on short-term earnings and longer term equity / economic value at risk, taking into account both a static analysis of interest rate gaps and a dynamic view of changing market conditions including elements such as yield, convexity, duration and FX.
• Develop and manage a robust data capture to support analysis and reporting of operational risk
• Define loss events and capture data to quantify potential ops risk losses
• Using a number of modeling techniques and data sources, measure and evaluate potential losses from counterparty credit exposure
• Establish credit value adjustments and associated debit value adjustments
• Ensure CVA and DVA are factored into all relevant models
• Ensure models take into account all elements of risk taken as a whole and correlations across businesses and risks
• Ensure elements such as equity risk and commodity risk are accounted for where necessary either as part of businesses, transactions or overall stress testing
• Ensure models are stress tested across a number of economic conditions taking into account both normal historic correlation and the potential for breakage in hedging relationships.

Qualifications and Skills

• Partner with units such as treasury, trading and client-facing functions to better understand the instruments and associated risks in their businesses
• Work with consulting firms, academic institutions and other financial institutions to improve modeling techniques and understand emerging issues
• Refine counterparty models through partnerships with market counterparties
• Work closely with units such as IT to improve data gathering and modeling
• Work cooperatively with industry specialists, country risk managers, credit review / analysis staff and relationship managers to evaluate the efficacy of models
• Support long- and short-term planning, new product development, ALM and risk management meetings
• Network within the industry through meetings, events and involvement with trade organizations to better understand emerging risk trends and modeling techniques
• Develop relationships with auditors and regulators to better understand their concerns and reduce potential compliance issues
• Apply a solid understanding of financial markets and economics to create a valid set of variables and scenarios
• Demonstrate an advanced knowledge of risk modeling to take into account various types of risk, correlation between risks and idiosyncratic risk
• Have a solid understanding of information technology and project management to create meaningful modeling and analysis
• Utilize a working knowledge of risk management systems across the organization to develop an overall modeling approach
• Demonstrate a robust understanding of data management and data types to improve model accuracy
• Use a basic knowledge of auditing and compliance to test the efficacy of models and create backtesting
• Be familiar with financial services trends, emerging issues and regulatory requirements (CCAR, DFAST) to inform models
• Communicate analytical data effectively
• Recommended years of experience: 10

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SMBC's employees participate in a Hybrid workforce model that provides employees with an opportunity to work from home, as well as, from an SMBC office. SMBC requires that employees live within a reasonable commuting distance of their office location. Prospective candidates will learn more about their specific hybrid work schedule during their interview process. Hybrid work may not be permitted for certain roles, including, for example, certain FINRA-registered roles for which in-office attendance for the entire workweek is required.

SMBC provides reasonable accommodations during candidacy for applicants with disabilities consistent with applicable federal, state, and local law. If you need a reasonable accommodation during the application process, please let us know at accommodations@smbcgroup.com.