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VP of Risk Modelling & Consumer Credit


This is a Full-time position in Oyster Bay, NY posted February 22, 2020.

Chicago, IL
Stamford, CT

Relocation offered

SquarePeg is working with a consumer financial services company to help them find their ideal VP of Credit Modeling (Model Lifecycle). Here is their description:

Role Summary/Purpose:

Our Credit and Capital Management team is looking for an experienced credit risk professional who has proficiency in regulatory (SR11-7/OCC 2011-12) modeling frameworks with a focus on Loss Forecasting, ALLL, Stress Testing and Capital Planning models (preferably Credit Cards or Consumer Lending). The role requires the individual to have a combination of statistical/quantitative as well as software/programing skills. The analyst will need demonstrated expertise across a broad set of data analysis tools (e.g. SAS, R, SQL, Python, etc.) to be self-sufficient in extracting and analyzing data from our current data infrastructure as well as a willingness to leverage and learn emerging tools in the data science space. The role would be part of a team or serve as a Project Lead that would collaborate with Model Developers as well as Model Owners in the above areas to assist the Model Strategy Leader in developing robust and cutting-edge modeling solutions while implementing an integrated modeling strategy to internal stakeholders by executing on key responsibilities outlined below:

Essential Responsibilities:

  • Develop, implement, and maintain an integrated loss forecasting modeling suite that supports overall alignment between baseline and stressed scenarios, as well as capital planning initiatives.
  • Develop a new Account Level Loss Forecasting Model 
  • Plan and execute self-driven analytical projects to support the design, development, documentation, implementation and monitoring of Loss Forecasting, ALLL and capital stress testing models.
  • Develop alternative predictive methodologies / tools to better identify credit dynamics in portfolio performance. Work closely with credit teams and portfolio credit managers to understand changes in strategy and the impact of those changes.
  • Assist in analyzing the current and future model landscape, technologies, data frameworks and implementation platforms in line with internal as well as industry best practices.
  • Enhance existing modeling framework based on new cutting-edge techniques (exploration into ML, pattern recognition, etc) 
  • Develop and execute initiatives such as conducting applicable research and implementing industry best practices in modeling methodologies and management of model risk. 
  • Develop attribution analysis and synthesize results to evaluate the applicability of existing models for cross-functional use, identify gaps and develop solutions to reduce process redundancies.
  • Support building and enhancing procedures and model documentation in compliance with regulatory guidance as well as the Bank’s model risk policy. 
  • Maintain current/develop new analytical reports and presentations for senior management, executive committees and regulatory exams.
  • Perform other duties and/or special projects as assigned


  • 7+ years of experience in Risk, Credit, Finance or other relevant professional experience
  • 5+ years’ experience in an analytical/quantitative role related to building models for consumer lending
  • 3-5 years’ experience developing ALLL, loss forecasting, stress testing or credit models
  • Credit card modeling/analytics experience
  • Proven hands-on experience utilizing SAS or SQL data mining skills as well as open-source tools such as Python, PySpark, R
  • Advanced analytics using Excel/VBA, strong PowerPoint and documentation skills

Desired Characteristics:

  • M.S. / PhD degree with quantitative underpinning (i.e., Risk, Economics, Finance, Mathematics, Statistics, Engineering)
  • Problem solving skills: Strong ability to rapidly learn the intricacies of an unfamiliar process, structure and scope complex problems, apply a range of analytical tools, gain and synthesize insights, and develop actionable recommendations
  • Proven experience in building end-to-end solutions for Loss Forecasting, Stress Testing / Predictive models in large banks or with large financial data sets
  • Comfort with Data and Technology: Prior experience functioning in roles and functions that are highly data-driven and require understanding of data models, enterprise data lake environment, process flows, and technology architecture as related to business requirements, including comfort interacting with internal technology teams
  • Knowledge of external environment, industry/competitor profiles, and common macro-economic indicators and correlations
  • Ability to lead/manage multiple competing initiatives and deliver results within deadlines and with a focus on accuracy and attention to detail
  • Client management and teamwork skills: Strong partnership skills and experience (at least 3-5 years) managing relationships across multiple teams of people
  • Communication and influence skills: Excellent communication and influencing skills to coordinate with multiple functional areas
  • Documentation skills: Demonstrated ability in documenting controls and procedures


Applicants who are currently employed on H-1B visa must have at least 2 years of eligibility remaining on their current visa term in order for us to petition for an employment based visa on behalf of such applicant. L1 visa would be considered for an internal candidate meeting all requirements for the L1 and all of our eligibility requirements. Applicants holding other types of visas, such as F-1 visas, must have at least 2 years of eligibility that would permit them to work for us.

All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or veteran status. 

The salary range for this position is 85,000.00 – 170,000.00 USD Annual

Grade/Level: 12

Job Family Group: Risk Management