Development of consumer and/or commercial credit, PPNR, loan origination and portfolio management models individually or as a project team leader.
Requirements
- 3+ years of experience in statistical modeling using SQL, SAS, R and Python that may be a combination of work experience (at least 1 year) and study project.
- 3+ years of experience in machine learning and data mining
- Knowledge of CCAR/DFAST and CECL concepts and frameworks
- Knowledge of loss forecasting, loan origination and portfolio management modeling concepts and methodologies (PD, LGD, EAD)
- Fundamental understanding of risk concept and framework
- Fundamental understanding of economic concepts
Responsibilities
- Development of consumer and/or commercial credit, PPNR, loan origination and portfolio management models which includes compilation and processing of the historical data, data analysis using AI/ML tools, model building using regression analysis and ML tools, implementation and production.
- Conducting ongoing monitoring of existing models.
- Analysis and reporting of ongoing monitoring results.
- Analysis of credit portfolio performance data.
- Ad-Hoc analytics.
- Researching new modeling methodologies and techniques.
- Working with various team within the firm to support governance, audit/compliance and validation projects related to the developed models.
Other
- Ability to work independently on projects with strict deadlines.
- Ability to lead the complex project and supervise junior modeling analysts
- Demonstrated strong analytical skills
- Strong communication skills
- Proficiency in MS Office products
