Director, Credit Stress Loss Modeling

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., 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 $173,202.00 and $228,000.00. 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 Objectives

- Develop, validate, and implement credit risk models to support regulatory stress testing, CECL, and capital planning.

- Support credit grading model development for SMBC’s Wholesale Credit portfolios and lead end-to-end development, calibration, and documentation of credit risk models (PD, LGD, EAD, and loss forecasting) used in stress testing and capital planning.

- Develop stress testing models to assess the impact of various macroeconomic scenarios, including CCAR scenarios, and design scenario-based frameworks aligned with regulatory guidelines.

- Participate in the development and calibration of risk scoring models for internal ratings-based (IRB) approaches, as well as for pricing, underwriting, and portfolio management.

- Enhance modeling methodologies by applying advanced statistical techniques, including machine learning and survival analysis, to improve predictive performance and scalability.

- Partner with Model Risk and Validation (MRV) teams and model owners to address validation findings and ensure compliance with governance standards.

- Conduct ongoing model performance monitoring through back-testing, benchmarking, and sensitivity analysis, and document model assumptions, limitations, and remediation plans to support audit and regulatory reviews.

- Implement robust controls to ensure model accuracy and stability across varying economic conditions, and support responses to regulatory exams and audits, ensuring adherence to SR 11-7, Basel III, and CCAR requirements.

- Collaborate with Finance, Risk, and IT teams to operationalize models into production systems and integrate them into reporting workflows. Mentor junior quantitative analysts by providing technical guidance and fostering professional development and promote knowledge sharing on emerging topics such as AI/ML applications and climate risk integration.

*Hybrid remote work is permitted

Qualifications and Skills

- Master’s degree in statistics, mathematics, applied science, or a related field plus 10 years of experience.

- Experience must include the following: Python, SAS, R. or other programming language used for quantitative analytics and modeling; CCAR and regulatory stress testing frameworks; vendor data sources including Moody’s CRD/DRD, S&P data, Trepp data, CoStar datasets; wholesale credit model development, including commercial real estate (CRE) and/or commercial and industrial (C&I) portfolios; statistical and econometrics modeling; and data analysis.

- The required skills do not need to be maintained over the full term of required experience.

The role is eligible for an annual discretionary incentive award. In addition to cash compensation, SMBC offers a competitive portfolio of benefits to its employees.

For benefit information, please see the Careers page

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 [email protected].