Credit Model Development Quantitative Analyst II (Hybrid - See Job Description for Listed Locations)
Core
Develop and analyze quantitative/econometric behavioral models for credit, interest rate, and liquidity risk management, as well as balance sheet and capital planning.
Role type
Senior IC quantitative analyst (credit risk modeling)
Builds
Production econometric models for risk management and capital planning
Domain
Banking / Financial Risk
Deliverable
production ML models | dashboards & analysis
Required skills
econometric modeling, statistical programming, SQL, regression analysis, time-series analysis, logistic regression, data set management, model documentation, regulatory compliance
Preferred skills
advanced statistical analysis, balance sheet management, mathematical modeling of financial instruments, model risk management, FRM or CFA designation
Technologies
SAS, Python, Stata, R, SQL Server
Responsibilities
Research and develop quantitative behavioral models for credit and liquidity risk; prepare and analyze large data sets using SQL; run regressions and econometric analyses; execute models in production; track portfolio and model performance; develop model documentation; provide guidance to less experienced personnel; ensure compliance with regulatory guidance.
Seniority
Mid-Senior, hands-on IC with mentoring responsibilities