Quantitative CredRisk Mgr

• Data and Database Management
• Generate datasets for model development, including execution of controls for data generation
• Using software techniques, clean datasets and identify outliers. Document process.
• Obtain and conduct QA/QC on all data required for CCAR stress loss model development.
• Maintain and update internal loss given default (LGD) database, help with internal data validation.
• Work with the IT group to improve data quality for regulatory and modeling purposes.
• Quantitative Risk Modeling
• Support champion and challenger CCAR Stress Loss Models.
• Develop benchmarking models.
• Quantify model performance across various segments and time periods.
• Back test and validate stressed credit risk models.
• Perform sensitivity testing on model parameters.
• Perform attribution of model results
• Recalibrate all models annually to incorporate latest data.
• Support portfolio models such as Moody’s RiskCalc and CoStar Compass, including automation of model execution.
• General Risk Management Improvements
• Support internal stress testing initiatives including CRE Portfolio quarterly loss benchmarking.
• Assist in benchmarking Stress Test losses to other institutions.
• Support other department initiatives such as acquisition accounting

Must-Have*

• Bachelor's Degree
• 3 years of experience in a risk quantitative position required.
• Minimum 3 years technical experience obtaining information from disparate sources, including production and ad hoc systems, linking and analyzing the information, performing data integrity checks and exploratory data analysis required.
• Minimum 3 years of experience with modeling software required, Python, R, Stata, R, Matlab, Sas, VBA.

Skills and Knowledge

• Advanced degree in statistics/finance/economics or other quantitative field.
• Experience in statistical data modeling, statistical diagnostics and database management.
• Software experience: Python, SQL, VBA, Excel, Statistical Programming – R, and Business Objects.
• Familiarity with general lending products (specifically for commercial lending).
• Three years of experience in quantitative analysis, preferably in the financial services industry with an emphasis in the area of risk management.
• Strong background and practical experience in statistical or econometric modeling, model validation, DFAST, Basel II, economic capital and stress testing methodologies.
• Experience in macroeconomic forecasting, credit risk forecasting and incorporating macroeconomic variables in credit risk models
• Ability to build strong relationships with peers, line of business managers and colleagues across the Bank