Credit Model Development Quantitative Expert
Core
Develops, implements, maintains, and analyzes quantitative/econometric behavioral models for credit, interest rate, and liquidity risk management, as well as balance sheet and capital planning.
Role type
Senior quantitative expert in credit model development and risk management
Builds
Production behavioral models for loan delinquency, default, loss, prepayment, utilization, deposit attrition, and financial instrument valuation
Domain
Banking, Credit Risk, Quantitative Finance
Deliverable
production ML models
Required skills
Logistic Regression, Linear Regression, Python, SQL, Econometric modeling, Statistical analysis, Data visualization, Regulatory compliance (SR 10-1, SR 10-6, SR 11-7)
Preferred skills
Time-series analysis, Panel data methods, Balance sheet management, Mathematical modeling of financial instruments, Model validation
Technologies
Python, SQL Server Management Studio
Responsibilities
Lead research and development of quantitative behavioral models; Prepare and analyze large customer loan, deposit, or financial data sets; Run regressions and programming routines to specify models; Execute models in production environment and track portfolio performance; Develop and manage model documentation; Provide guidance to less experienced personnel; Lead Treasury projects and present recommendations to Senior Management
Seniority
Senior, hands-on IC with potential for team leadership
