Experience with rating models in financial or banking environments.
This role is focused solely on model development, excluding model validation tasks.
Responsibilities
Develop, enhance, and implement credit risk models using Python and PySpark.
Collaborate with quantitative teams to design, test, and validate model frameworks.
Conduct statistical analysis and model calibration.
Monitor model performance and adjust as necessary.
Translate regulatory and business requirements into model specifications.
Document processes and support model reviews.
Benefits
Opportunity to work on cutting-edge credit risk models.
Collaborative environment with quantitative and risk teams.
Involvement in high-stakes projects with regulatory compliance.
Exposure to large-scale data environments and distributed computing technologies.
Full Job Description
Job Title: Credit Model Developer Location: New York, USA/On-Site Interview Process: 2 Rounds - 1 Virtual & 1 Face-to-Face
Job Summary: We are seeking a skilled Credit Model Developer with strong expertise in Python and PySpark, coupled with a solid statistical or quantitative background. The ideal candidate will have experience in credit risk model development (PD, LGD, EAD, ALLL) and a deep understanding of rating models used in financial institutions.
Key Responsibilities: Develop, enhance, and implement credit risk models (PD, LGD, EAD, ALLL) using Python and PySpark. Work closely with quantitative teams to design, test, and validate model frameworks. Perform statistical analysis, model calibration, and performance monitoring. Collaborate with business and risk teams to translate regulatory and business requirements into model specifications. Prepare documentation and support internal/external model reviews.
Required Skills & Qualifications: Strong programming skills: Python and PySpark (hands-on experience required). Quantitative / Statistical background - degree in Statistics, Mathematics, Engineering, Financial Engineering, or related field. Proven experience in credit risk model development (PD, LGD, EAD, ALLL). Experience working on rating models within financial or banking domains. Note: This role focuses on model development - model validators are not required.
Nice to Have: Experience with regulatory model frameworks and governance processes. Familiarity with large-scale data environments and distributed computing.
