Quantitative consulting position for Wholesale credit models development. Candidate will join Risk Analytics group that partakes in full life-cycle of model development: from methodology to design to implementation.
Maintain, run and improve credit risk models ALLL, PD, LGD, EAD
Perform quantitative research to implement model changes, enhancements and remediation plans.
Develop CECL framework and analytics
Maintain, update and back-test risk models.
Develop Risk Analytics platform.
At least a Bachelor’s Degree in quantitative subject; Masters or PhD Degree is a plus.
Strong hands on experience developing credit risk models PD, LGD, EAD
Experience developing and implementing ALLL and CECL models and frameworks
Experience in wholesale credit risk stress testing
Proficient programming skills in python and R (other languages such as C++, perl, C# is a plus).
Database expertise: SQL.
Proficient in analyzing large, complex dataset and state of the art analytics in data science.
Superior technical writing skills
Superior oral and written communication skills.
Risk Analysis, SQL, Python, finance
Financial Quantitative Analyst