First Horizon Corporation is looking to support the Credit Risk Models Team with the development, testing, implementation, monitoring, documentation, and maintenance of all credit risk models used for various activities such as CECL, stress testing, loss forecasting, origination, portfolio management, and economic capital.
Requirements
- Advanced quantitative statistical modeling skills (Regression, Time Series, Survival Analysis, Markov Chain, etc.)
- Experience with at least one of the following software packages: R, SAS, SQL, Python
- Knowledge of Python, R, SAS, or SQL
- Proficiency in the use of Microsoft Office with advanced experience in Excel
- Familiarity with software version control systems, such as Git
- Working knowledge of Generally Accepted Accounting Principles (GAAP), Basel III, Dodd-Frank Act Stress Testing, CCAR, and bank accounting/regulatory reporting requirements.
- Ability to use advanced statistical and mathematical software to perform descriptive, predictive, and prescriptive analysis leveraging a variety of statistical techniques (such as segmentation, logistic regression, sensitivity analysis, and machine learning).
Responsibilities
- Develop and apply mathematical or statistical theory and methods to collect, organize, interpret, and summarize numerical data sets from multiple sources to develop credit risk models for CECL, stress testing, scorecards, economic capital, or other credit risk-related initiatives.
- Derive model assumptions that are well reasoned and supportable.
- Implement models in code in a transparent and easily maintainable way.
- Comprehensively and clearly document all modeling or analysis work that meets internal, GAAP, and regulatory requirements; translate model theory and related results for non-quantitative audiences.
- Develop and support strong controls for the model implementation framework and maintain related documentation.
- Support independent model validation process, internal and external audits, and regulatory reviews.
- Monitor the performance and calibration of existing models.
Other
- PhD or Master’s degree in Statistics, Econometrics, Mathematics or related quantitative field. A Bachelor’s degree in a quantitative field with additional certifications or experience may be considered.
- Excellent verbal, written, and interpersonal communication skills
- Ability to clearly articulate, in writing or orally, ideas, analytic insights, and recommendations to both technical and non-technical audiences, including an executive audience.
- Ability to identify key problems, conduct in-depth research, and articulate well-reasoned solutions.
- 2 or more years of model development or validation experience, particularly in credit risk or stress testing.
