Serves as a key member of the credit risk analytics team that is responsible for a very wide range of reporting processes including data extraction, aggregation, and the management of quantitative risk models. Primary focus of this position will be the quantitative analysis and validation of the credit stress testing and risk rating scorecard models.
This position will have direct management of all aspects of the credit risk models including usage, analyses, reporting and validations. Key provider of information to upper management and model stakeholders as well as regulators, external auditors and internal audit.
Responsible for maintaining and expanding the ongoing monitoring and regulatory requirements related to credit models. These models include (but are not limited to) Risk Scorecards and Credit Stress Testing.
Essential Position Responsibilities
- Primary owner and manager of the bank's PD/LGD scorecard models
- Perform back testing and other analyses on in order ensure accuracy in credit risk models.
- Report various model findings and results to executive management on a periodic basis as part of the strategic decision making process of the bank
- Maintain an awareness of new trends and developments related to standard concepts, practices, and procedures within the model validation/risk analytics field.
- Creates various ad hoc reporting for executive management decision making
- Implement and own the credit stress testing models that will fit into the bank-wide stress testing models (formally known as DFAST)
- Manage reporting and general model output through the creation of business intelligence applications and by writing code to create new programs to support the bank's credit models
- Degree in Mathematics, Statistics, Economics or related field
- Seven or more years of experience in financial risk management, experience in developing and/or validating statistical models is preferred
Knowledge of R or Python is required
- Must have attention to detail, initiative and ability to work under tight deadlines
- Advanced Microsoft excel and proficiency in Microsoft Access required
- Advanced skills with database development, maintenance, and extraction of data for reporting
- Knowledge of credit and financial risk management, economic capital and stress testing concepts