Credit Risk Modeling Expert
Core
Develop and implement expected loss forecasting models (PD/LGD/EAD) for Commercial Real Estate, Commercial Industrial, and Small Business portfolios to ensure regulatory compliance.
Role type
Senior Credit Risk Modeling Expert
Builds
Expected loss forecasting models and regulatory stress testing submissions
Domain
Banking / Credit Risk / Financial Services
Deliverable
production ML models
Required skills
Predictive modeling, statistical methods, banking regulations, Python, SQL, SAS, R, data analysis, model validation, stress testing
Preferred skills
Cloud platforms (Azure), machine learning concepts, version control (Git), large dataset handling
Responsibilities
Develop expected loss forecasting models (PD/LGD/EAD) with best practice and document methodology; Review and revise segmentation and modeling approach based on business changes; Analyze model metrics and recommend improvements; Write and execute code in local and cloud environments; Provide challenges to existing models to enhance performance; Support CCAR/CECL submission and stress testing processes
Seniority
Senior, hands-on IC