Vice President – Macroeconomic Model Development
Sumitomo Mitsui Banking Corporation – SMBC Group
full-time
Posted on:
Location Type: Hybrid
Location: Jersey City • New Jersey • 🇺🇸 United States
Visit company websiteSalary
💰 $155,000 - $195,000 per year
Job Level
Lead
Tech Stack
PythonSQL
About the role
- Lead development and expansion of macroeconomic models and scenario generation frameworks used for CCAR/DFAST stress testing and Credit Loss provisioning (CECL/IFRS9)
- Design, implement, and operationalize macroeconomic drivers, scenario mapping, and forecasting models that feed loss forecasting and capital planning processes
- Ensure regulatory compliance and strong model governance
- Integrate Moody’s Scenario Studio into the firm’s scenario design and expansion framework
- Design, estimate, and validate macroeconomic forecasting models (national and regional)
- Build and maintain scenario translation frameworks that map macroeconomic paths to portfolio risk factors and loss drivers
- Lead end‑to‑end integration of macro models into CCAR stress testing and Credit Loss provisioning pipelines
- Prepare model documentation and technical writeups for regulatory review
- Establish robust validation, back‑testing, and monitoring processes for macro models
- Drive automation of data ingestion, model runs, scenario generation, and reporting
- Partner with credit risk, finance, capital planning, and IT to operationalize outputs
Requirements
- Master’s or PhD in Economics, Econometrics, Statistics, Quantitative Finance, Mathematics, or a related field
- 5+ years developing macroeconomic, forecasting, or stress‑testing models in a banking or regulatory environment
- Demonstrated experience supporting CCAR/DFAST and CECL/IFRS9 processes preferred
- Advanced proficiency in Python and statistical libraries
- Strong SQL skills
- Experience with Databricks or similar data platforms
- Expertise in time series econometrics, panel models, VARs, state‑space models, scenario simulation, and machine learning where appropriate
- FRM, CFA, or equivalent quantitative certifications preferred
- Clear communicator able to translate complex technical concepts for senior stakeholders
- Strong project management skills
Benefits
- Competitive portfolio of benefits to its employees
- Annual discretionary incentive award
Applicant Tracking System Keywords
Tip: use these terms in your resume and cover letter to boost ATS matches.
Hard skills
macroeconomic modelsscenario generation frameworksforecasting modelsmodel validationdata automationPythonSQLtime series econometricsmachine learningpanel models
Soft skills
clear communicationproject management
Certifications
FRMCFA