Credit Risk Quantitative Model Analyst Sr

Role Description

The Senior Credit Risk Quantitative Model Analyst supports the Credit Risk Administration Team with the development, testing, implementation, monitoring, documentation, and maintenance of all credit risk rating models. Responsibilities include:

• Sourcing, cleaning, and transforming data
• Researching applicable methods
• Training and testing a variety of specifications
• Documenting all facets of the development process
• Implementation of models and related logic in production systems
• Assessing outputs across different levels of inputs (sensitivity analysis and scenario analysis)
• Back-testing and ongoing performance monitoring
• Communicating aspects of the model and its application to non-technical stakeholders

Qualifications

• Education level required: Undergraduate Degree (4 years or equivalent) in a quantitative field with additional certifications or experience
• Minimum experience required: 6+ Years of model development, model performance monitoring or validation experience, particularly in credit risk
• Experience with at least one of the following software packages: R, SAS, SQL, Python

Requirements

• 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 rating models or other credit risk-related initiatives
• Derive model assumptions that are well reasoned and supportable
• Monitor the performance and calibration of existing models
• Implement models in code in a transparent and easily maintainable way within loan origination applications
• 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
• Interact with model users, validators, and regulators to address model issues and remediation actions
• Interact with key stakeholder groups such as Accounting, Treasury, Credit, Lines of Business, Model Risk Management, and Enterprise Technology in the design, development, and ongoing usage of models
• Perform special projects, and additional duties and responsibilities as required
• Consistently adhere to regulatory and compliance policies and standards linked to the job as listed and complete required compliance trainings
• Accountable to maintain compliance with applicable federal, state and local laws and regulations

Benefits

• Access to a variety of benefits including medical, dental, vision, life, and disability insurance
• Comprehensive leave program