Senior Quantitative Modeler, CECL at Fifth Third Bancorp in Chicago, IL

• This person will provide quantitative support throughout the Risk divisions. This will include the development, implementation, and monitoring of quantitative models including those used for expected credit loss estimation, and related components such as PD, LGD, EAD, prepayment, etc.
• Provide ongoing support for the development, implementation and validation of quantitative and statistical models and tools as well as back testing models to support respective LOBs.
• Will also have responsibility for ad-hoc reporting requests for quantitative modeling and ACL estimation.

MINIMUM KNOWLEDGE SKILLS, AND ABILITIES REQUIRED:

• Advanced degree in quantitative analytics, economics, finance, statistics, mathematics, engineering, or a related area.
• Minimum 3-5 years’ experience in statistical/econometric modeling and database management.
• Experience with programming languages commonly used for quantitative modeling, such as SAS, R, Python or Matlab is required.
• Database experience using SQL-based databases.
• Some experience with machine-learning and artificial intelligence approaches is preferred.
• Strong analytical, verbal and written communication skills.
• Ability to present a professional image.
• Ability to work in a team environment, to multi-task and be flexible.
• Experience with Microsoft office products, such as Word, Excel, PowerPoint and Outlook is necessary.
• Must have a working understanding of both CECL and Basel II frameworks.
• Experience in a cross- functional environment working with portfolio management concepts and constructing and explaining risk models is strongly preferred.