Vice President, Quantitative Modeling
Core
End-to-end development, calibration, and documentation of credit risk models (PD, LGD, EAD, loss forecasting) and stress testing models for capital planning and regulatory compliance.
Role type
Senior IC quantitative modeling expert (credit risk & stress testing)
Builds
Credit risk models, stress testing frameworks, and operational risk capital models for regulatory capital calculation and scenario analysis.
Domain
Banking / Financial Risk / Regulatory Compliance
Deliverable
production ML models
Required skills
Python, SAS, R, statistical/econometrics modeling, data analysis, CCAR, CECL, wholesale credit model development, Commercial Real Estate modeling, Commercial & Industrial modeling, vendor data experience (Moody's CRD/DRD, S&P, Trepp, Costar)
Preferred skills
Machine learning, natural language processing, climate risk integration
Technologies
Python, SAS, R, Moody's CRD/DRD, S&P data, Trepp data, Costar data
Responsibilities
Develop and calibrate credit risk grading/rating models for IRB frameworks; Design scenario-based modeling frameworks for CCAR and regulatory stress tests; Innovate modeling approaches using advanced statistical techniques; Perform ongoing model performance monitoring, back-testing, and sensitivity analysis; Mentor junior quantitative analysts and foster knowledge-sharing on emerging trends.
Seniority
Senior, hands-on IC with mentorship responsibilities
