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Credit Risk Modeler
3 months ago
Responsibilities:
- Lead the research and development of quantitative models for assessing credit risk. This includes models for predicting loan delinquency, defaults, losses, prepayment, and utilization, deposit attrition models, financial instrument valuation methods crucial for capital planning, Allowance for Credit Losses (ACL), and underwriting.
Data Analysis and Management:
- Prepare, manage, and analyze large datasets related to customer loans, deposits, or financial information. Utilize statistical techniques to specify and estimate econometric models, enhancing the understanding of customer behavior and the Bank's operations. Ensure the models are contextually appropriate for the Bank's data and business environment.
Model Implementation:
- Support the full development lifecycle and implementation of models using agile methodologies. Employ advanced coding tools and data science platforms. Execute these models in a production environment and communicate the analytical outcomes to stakeholders across the Bank. Monitor portfolio performance, model accuracy, campaign effectiveness, and risk strategy outcomes, and refine models to enhance predictive accuracy.
Documentation and Compliance:
- Develop, maintain, and manage comprehensive model documentation, including process descriptions and performance monitoring guidelines, serving as a reference for future use.
Cross-Departmental Collaboration:
- Provide expert financial analysis and data support across various departments within the Bank. Lead collaborations with Model Risk Management teams for model validation. Serve as a Bank-wide expert in quantitative risk management.
Mentorship and Guidance:
- Offer guidance and mentorship to less experienced team members in data analysis, financial modeling, and predictive model development.
Requirements
- Bachelor’s degree with a minimum of 6 years of demonstrated experience in quantitative behavioral modeling. Alternatively, a combination of at least 10 years of higher education and/or work experience, including a minimum of 6 years in quantitative behavioral modeling, will be considered in lieu of a degree.
- At least 6 years of hands-on experience with statistical software packages such as SAS, Python, Stata, or R.
- A minimum of 6 years of experience working in data management environments, specifically using tools like SQL Server Management Studio.
- A minimum of 6 years of experience in analyzing large datasets and effectively communicating the results through clear written and verbal communication, as well as visual representations such as charts and graphs
