Credit Model Development Expert

Role Overview

• Independently develops, implements, maintains, analyzes and manages quantitative/econometric behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning.
• Serves as Bank-wide or industry expert in key area(s) of quantitative risk management.
• Provides mentoring, training and guidance to less experienced analysts and may lead/manage teams on a project basis, providing performance feedback to management as appropriate.
• Lead research and development of quantitative behavioral models used for credit risk, interest rate risk and liquidity risk management, as well as balance sheet and capital planning, including but not limited to, loan delinquency, default and loss models, loan prepayment and utilization models, deposit attrition models, and financial instrument valuation methods.
• Prepare, manage and analyze large customer loan, deposit or financial data sets for statistical analysis in Structured Query Language (SQL) or similar tool to properly specify and estimate econometric models to understand customer or Bank behavior for the purposes of credit, interest rate, liquidity or stressed capital risk management.
• Run regressions (including time series and logistic regression), programming routines and other econometric analyses to specify models using appropriate statistical software; communicate results, including graphic and tabular forms, to fellow team members, Treasury management and Bank-wide stakeholders, including the business lines and Risk Management colleagues to demonstrate key risk drivers and dynamics of model output.
• Execute models in production environment; communicate analytical results to Bank-wide stakeholders.

Requirements

• Bachelor’s degree and a minimum of 6 years’ proven quantitative behavioral modeling experience, or in lieu of a degree, a combined minimum of 10 years’ higher education and/or work experience, including a minimum of 6 years’ proven quantitative behavioral modeling experience
• Credit model development experience
• Logistic Regression AND Linear Regression experience required
• Minimum of 6 years’ on-the-job experience with pertinent statistical software packages, including Python experience (mandatory)
• Minimum of 6 years’ on-the-job experience with data management environment, such as SQL Server Management Studio
• Minimum of 6 years’ on-the-job experience analyzing large data sets and explaining results of analysis through concise written and verbal communication as well as charts/graphs

Tech Stack

• Python
• SQL

Benefits

• Health insurance
• 401(k) matching
• Paid volunteer time
• Professional development opportunities