Credit Risk Modeling Role - Bank

We are looking for professionals in credit risk domain with hands on modeling experience.

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

- Develop segment and/or account level CCAR/CECL/Decision Scores models. Developing Underwriting, Line management, Account management, Collection and Recovery models.

- Executing the above models in compliance with GCCFRP and in accordance with the Model Development Procedures within Risk

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

- Perform all required tests (e.g. sensitivity and back-testing). Deliver comprehensive model documentation and perform implementation tests

- Work closely with cross functional teams, including business stakeholders, model validation and governance teams, and model implementation team

- Work closely with policy managers in establishing the swap set analysis and PnL optimization using the models.

- Create story boards, presentations and project plans for discussions with senior management

- Support the regulatory submissions on CCAR/CECL and work on adhoc requests from Business and Independent Risk

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

- Train and mentor junior modeler in developing innovative models in compliance with policies and procedures

Technical Skills:

- Strong technical skills in modeling procedures is required (regression, time series, decision tree, linear/nonlinear optimization etc.)

- Strong in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint

- Basic programming skills in Python or R is required

- Strong communication skills to present technical information verbally and in writing to both technical and non-technical audiences is required.

- On-the-job Python coding experience is preferred.

- Machine Learning knowledge is preferred

- Big Data concepts understanding is preferred