Credit Risk Modeling Role - Bank

Responsibilities:

- Develops, enhances, and validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational. Also, may develop, validate and strategize uses of scoring models and scoring model related policies.

- Conducts statistical analysis for risk related projects and data modeling/validation.

- Applies quantitative and qualitative data analysis methods including SAS programming, Structured Query Language (SQL) to extract, transform and analyze data and Visual Basic programming language.

- Prepares statistical and non-statistical data exploration, validate data, identify data quality issues.

- Conducts data analysis, data mining, read and create formal statistical documentation, reports and work with Technology to address issues.

- Analyzes and interprets data reports, make recommendations addressing business needs.

- Uses Predictive modeling methods, Optimizing monitoring systems, document optimization solutions, and present results to non-technical audiences; write formal documentation using statistical vocabulary.

- Generates statistical models to improve methods of obtaining and evaluating quantitative and qualitative data and identify relationships and trends in data and factors affecting research results.

- Validates assumptions; escalate identified risks and sensitive areas in methodology and process.

- Automates data extraction and data preprocessing tasks, perform ad hoc data analyses, design and maintain complex data manipulation processes, and provide documentation and presentations.

- Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

The responsibility includes but not limited to the following activities:

- Obtain and conduct QA/QC on all data required for CCAR/CECL model development

- Develop segment and/or account level CCAR/CECL stress loss models

- Perform all required tests (e.g. sensitivity and back-testing)

- Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed

- Deliver comprehensive model documentation

- Work closely with cross functional teams, including country/region's business stakeholders, model validation and governance teams, and model implementation team

- Prepare responses/presentations to regulatory agencies on all CCAR/CECL models built

Qualifications:

- Advanced Degree (Masters required, PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline

- 2+ years' experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses

- Experience with dynamics of unsecured products a strong plus

- Active role in performing some analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, and model production implementation)

- Exposure to various stress loss modeling approaches at the segment or account level preferred

- Able to communicate technical information verbally and in writing to both technical and non-technical audiences