This leadership position will assume responsibility for the new ALLL model / methodology, and certain Portfolio Analytics functions. It is therefore largely identical to an existing role within Enterprise Risk. The two positions will share ongoing responsibility for certain stress testing, economic capital and model risk management functions subsequent to the ALLL transition taking effect.
This role will also lead and assist SVB in the design and implementation of a CECL compatible ALLL and risk management platform. Implementation of CECL by 2020 is a regulatory requirement and is presumed for CCAR institutions. There are no industry benchmarks for the CECL process given this accounting standard was newly created in parallel with Dodd Frank in response to the great recession of 2008. The new standard is complex, has numerous dependencies, and impacts the organization broadly (Credit, Risk, Finance, IT, Regulatory).
• Lead SVB’s transition to Expected Loss (PD/LGD) and CECL ALLL reserve methodologies.
• In preparation for CCAR, coordinate the evolution of SVB’s stress testing, economic capital and risk modeling procedures in collaboration with internal partners and consultation with Auditors, loan Examiners and other constituents.
• Manage quantitative analytic models and applications in collaboration with Enterprise Risk in support of the firm’s risk management. Build and enhance various analytic models including sensitivity analysis, stress testing, value-at-risk, scenario testing, and Monte Carlo simulations. Recommend and implement industry best practices for portfolio analytics.
• Expand loan modeling, PD correlation analysis, high-risk cohort identification and product development capabilities within Credit Administration. Provide quantitative support for credit origination and management practices, including the creation of product dashboards, application of risk migration and loss correlation analysis.
• Refine and create Board of Directors reporting to incorporate key performance and risk metrics to ensure that critical decisions on risk appetite, house limit structure and deal parameters are well informed.
• Hire and manage a team of analysts to facilitate timely completion of ALLL reserve business process. Intra-quarter responsibilities for the team to include support for expanded portfolio analytics, credit reporting and loan product management initiatives.
Skills and Requirements:Undergraduate degree in statistics, mathematics, finance, economics, or other related discipline, an advanced degree highly preferred.
10+ years of working experience, with a strong track record in portfolio analytics – preferably with a large financial institution and ideally with a CCAR institution.
Thorough understanding of statistics, mathematics, and econometric modeling techniques (including model functionality), and the relevant statistical analysis tools/packages.
Ability to analyze and interpret large data sets, identify insights, and synthesize how these insights impact risk decisions.
Ability to communicate effectively at all levels in an organization, and a personal presence that will facilitate interaction with senior client executives.
Experience with requirements gathering from stake-holders.
Experience with off-shore partners for data input/aggregation.
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