Senior Manager, Credit Risk Model Development
Where
- Boston, MA
What you'll be doing
- Responsibilities include participate in development, execution and management of credit stress testing models for the company lending portfolio. Manage the development of sector/industry risk assessment methodologies and quantitative measurement techniques for credit risk exposures and structured products. Analyze credit risk loss models, correlations, concentrations, rating migratins, and risk contributions. Build macroeconomic models that explains the fundamental credit metrics, such as defaults, charge offs, loss severity, prepayment and new balance growth. Working in partnership with and providing support to other members of the Portfolio Analytics team, other functional teams, and external entities such as treasury and business lines. Integrate credit risk models with ALM framework. Develop and manage credit risk simulation models, build pricing methodologies to be applied to wholesale exposure, retail exposures and structured assets. Evaluate portfolio credit exposure and data trends for CFG retail portfolios. Maintain large data sets using advance statistical/modeling tools. Working with appropriate parties to resolve or remediate data quality issues. Manage implementation of third party vendor solution tools for credit risk. Prepare ad hoc risk quantification projects at the request of management. Participate in peer review sessions and maintain awareness of new advances in credit risk modeling techniques to ensure the application of best practices to CFG credit risk models. Assure quality and leading edge nature of work by helping to solve problems faced by others.
What your background should be
- 6 to 8 years of experience in financial modeling and analytics. Prior experience in loss forecasting both in retail and wholesale portfolios. Modeling/analytical experience with commercial banks or financial in business and banking and with commercial banks products, operations and credit processes. Knowledge of the Basel rules and regulations. Understanding of compliance and implications of Basel, FDIC, Federal Reserve regulatory frameworks as well as U.S. and International accounting standards. Strong knowledge of financial, mathematical and statistical theory and practice. Particularly knowledge of option valuation, portfolio theory, stochastic processes and time series analysis. Extensive understanding of relational databases and ability to effectively utilize statistical software SAS, Stata, and R. Advanced programming knowledge in C, C++ or Excel VBA.
Required Schooling / Training
- Master degree in Economics, Finance, Mathematics and Statistics or Ph.D. degree in a quantitative field.
Who is the client company
- The company provides financial services.
- If you are interested in this position, send your resume to apply@kochdavis.com
