Credit Risk Model Development Quantitative Analyst II - Consumer Portfolio (Hybrid - see job description for potential work locations)
Core
Develop and analyze quantitative/econometric behavioral models for credit, interest rate, and liquidity risk management, including loan delinquency, default, and loss models.
Role type
Senior quantitative analyst (credit risk modeling)
Builds
Production credit risk models and capital planning tools for a commercial bank
Domain
Banking / Financial Risk Management
Deliverable
production ML models
Required skills
Python, SQL, logistic regression, linear regression, time series analysis, econometric modeling, statistical software (SAS, Stata, R), data management
Preferred skills
Master's/Doctorate in Statistics/Economics/Finance, consumer portfolio model development, balance sheet management, model validation (SR-11-7)
Technologies
Python, SQL, SAS, Stata, R
Responsibilities
Develop quantitative behavioral models for credit and liquidity risk; analyze large datasets to estimate econometric models; execute models in production; track portfolio and model performance; provide guidance to less experienced personnel; maintain model documentation and compliance with regulatory standards.
Seniority
Mid-Senior, hands-on IC
