Director - Portfolio Capital Analytics - Santander Bank - New York

Job description
SBNAs Portfolio Capital Analytics director will be responsible for delivering an "economic capital-based" capital allocation framework to substantiate forward-looking risk-reward measures to actively manage the Banks portfolio.
Manage SBNAs Portfolio Capital Analytics team reporting to SBNAs Capital Management Director.
Design and implement an economic capital-based capital allocation framework to substantiate forward-looking risk-reward measures to actively manage the Banks portfolio.
Specify and develop the economic capital engine and the RAROC/RORAC methodology.
Thoroughly test the functionality, including the compilation of test cases and studies.
Test and vet all risk parameters (PD, LGD, EAD, rates, etc.) necessary for the implementation and execution of the methodology as provided by SBNAs Risk.
Coordinate with Risk for the improvement of these risk parameters and for the development of Basel IRB Advanced models to support Santander Groups Basel II program and SBNAs capital allocation framework.
Specify and maintain the data model, data base, and platform required for the execution of the methodology.
Interact with T&O and IT for the collection and warehousing of data with the required quality, and for the implementation of the required infrastructure and platform.

Run the BAU process and generate reports.
Produce comprehensive documentation of the portfolio capital methodology, infrastructure, implementation and reports. Engage the Bank¿s Model Risk Management process as required.
Analyze, document, present and socialize results to senior management, risk and business leaders and other stake holders.
Coordinate with SBNAs Capital Policy & Reporting, FP&A, and BU comptrollers to implement the financial performance and RAROC/RORAC programs in the business units.
Identify, interpret and implement emerging regulatory requirements relating to capital management for the Bank, ensuring that OCC MRAs and other Bank-specific regulatory feedback are addressed.
Conduct periodic Bank-level gap assessments of current capital management processes against leading and emerging industry practices and changes in regulatory expectations.

Desired Skills and Experience
Ph.D. in quantitative discipline (or M.Sc. with additional quantitative experience)
At least 10 years of experience in finance or banking as a quant; experience as team leader; experience engaging regulatory bodies (OCC and Federal Reserve).
Multiple years of experience in economic capital, capital allocation, portfolio credit risk, ops risk advanced models, market risk modeling, or counterparty risk, a must, especially with ECAP and RAROC systems for capital performance and allocation.
Thorough knowledge of financial and banking products, especially instrument valuation models.
Solid understanding of the relevant regulatory requirements associated with economic capital and capital allocation, and with model risk management regulatory guidance OCC 2011-12 / SR 11-7.
Deep mathematical, statistical and implementation knowledge of risk modeling methodologies, requirements and challenges.
Familiarity with the main vendor models and services in the economic capital and capital allocation space.
Proficient in modeling tools and platforms (C++, MATLAB, etc.)
Experience developing senior management, board level or executive level presentation materials.
Strong leadership skills and ability to develop and coach a strong team of business analysts.
Strong team player, able to work effectively in an environment where work products are delivered by multiple internal stakeholders.

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