The Stress Testing Modeling & Analytics team in Risk Finance is responsible for forecasting AXP’s Billed Business, Loans, and Net Income under various macroeconomic conditions. The forecast is a crucial component AXP’s Capital Plan which is submitted annually to the Risk Committee of the Board of Directors and biennially to the Federal Reserve Board as part of the Comprehensive Capital Analysis & Review (CCAR) regulatory process.
This role is responsible for forecasting and analyzing Billed Business and Loans under various economic conditions through the use of statistical models. This position will also be responsible for the development and implementation of machine learning models and techniques used for various business-use cases in Risk Finance. This position offers the unique opportunity to understand the dynamics of AXP-wide volumes, P&L, balance sheet and capital, as well as the impact of economic conditions on the company’s performance.
- Develop and maintain econometric models used to forecast Billed Business and Loans for US portfolios and key international markets
- Analyze portfolio/market trends and identify key drivers of forecasted performance
- Enhance and redevelop models, as required, including data selection, validation, ongoing monitoring and governance, as well as the transition of modeling data to Cornerstone
- Update model documentation submitted to internal validation teams and external regulators
- Support various stress testing exercises across AXP, including Bank Holding Company and local market Internal Capital Adequacy Assessment Process (ICAAP) and American Express National Bank (AENB) Macroeconomic Stress Testing
- Present and defend statistical modeling techniques to various internal and external stakeholders, including Model Risk Management Group (MRMG), Internal Audit Group (IAG), AENB Board of Directors, Federal Reserve Board (FRB), and Office of the Comptroller of the Currency (OCC)
- Develop and deploy machine learning models and techniques for various business-use cases
- Support the company’s ‘Winning through the Cycle’ strategy by providing analytics on the impact of macroeconomic stress on the company’s volumes, in partnership with colleagues across the organization.
- Partner with various cross-functional teams, including Treasury, Corporate Planning, and Risk
- Degree in quantitative field such as mathematics or statistics
- Strong understanding of statistical/predictive models, data extraction and analytical techniques using complex financial databases
- Experience using statistical software (preferably SAS, Python or Hive) and manipulating large data sets for development of statistical/predictive models
- Experience building models using machine learning algorithms including Gradient Boosting , Neural Networks, and Random Forest preferred
- Ability to break down complex ideas into understandable and actionable messages
- Ability to present to and influence senior leaders, internal validation teams, and external regulators
- Ability to provide thought leadership and creativity in solving challenging business problems
- Knowledge of AXP lines of business preferred
Depending on factors such as business unit requirements, the nature of the position, cost and applicable laws, American Express may provide visa sponsorship for certain positions.
Schedule (Full-Time/Part-Time): Full-time
Date Posted: Sep 12, 2019, 1:14:22 PM