International Bank
Office Status: Hybrid
SUMMARY:
Part of Credit Risk, reporting to the Chief Credit Officer, a qualified candidate will be responsible to define and implement changes to CECL methodology and business operating model, which entails a thorough understanding of the end-to-end allowance process and the associated infrastructure.
PRIMARY RESPONSIBILITIES:
- Use of Moody’s Impairment Studio
- Fully learn and understand all aspects of processing within Impairment Studio with the help of Moody’s internal support team
- Create Policy and Procedure documents for CECL reserves using Loss Rate and PD/LGD
- Support Portfolio Managers and /Underwriters with finalizing PD / LGD calibrations using Moody’s CreditLens and Commercial Mortgage Metrics platforms
- Help ensure smooth transition between CECL Loss Rate and PD/LGD approach
- Work with Bank’s 3rd party consultants on future aspects of the final/ new implementation packages
- Review the broad loan portfolio (PD/LGD down to the loan/facility level)
- Work hand in hand with Credit Underwriting and Portfolio Management (Review the loan ratings, PD/LGD output match between CL/CMM and ACBS, Ensure general accuracy of outputs)
- Review ACBS files (General balances, Funded vs Unfunded, C&I vs CRE, Other ad hoc)
- Review/Add/Correct the internal loan classification (i.e. asset sub-categories.)
- CECL calculation preparation:
- Upload all relevant files to Impairment Studio, review files at month end and update any missing information (classifications, ratings, PD/LGD, etc.)
- Work with Accounting to verify balance sheet uploaded matches General Ledger
- Check for errors once uploaded in Impairment Studio and correct/re-upload
- Review all inputs used in calculation prior to running and document when required: Economic forecasting, CCF/Prepayment assumptions, GCOR model assumptions, Loss Rate methodology, DCF/PD LGD methodology, Q Factors
- Reserve calculation analysis: review results, explain variances (attribution analysis), sanity checks
- Prepare reporting packages for senior management, auditors, head office, etc. for Loss Rate, DCF / PD LGD, and other various reserves analytics
- Research, collect and work with economic data to help assess the future state of the economy and potential customer credit trends
- Participate in various other projects and reporting, as needed (i.e. both local and head office)
REQUIRED QUALIFICATIONS:
- 7-10 years of experience
- Advanced credit and credit analytics knowledge base
- Strong written and verbal communication skills
- Strong ability to exercise independent action and moderate decision making with properly documented risk mitigation applied
- Task oriented with attention to detail and ability to meet time sensitive deadlines
- Experience using Moody’s Analytics suite of products (including, Credit Lens, Impairment Studio, CMM, etc.)
- Knowledge of CECL, PD/LGD, Loss Rate, Loan ratings
- ACBS System knowledge preferred
- Experience dealing with auditors
- Bachelor’s Degree in Finance/Accounting Economics.
- MBA desirable