Quantitative Portfolio Modeling - Associate

In this role you will be responsibledevelopment of stress test models as part of the annual CCAR/CECL exercise. You will also havean opportunity to use your experience with econometric/statistical modeling, data manipulation, query efficiency techniques, reporting and automation. You will be a part of Group Retail Modeling team and are responsible for providing business excellence through development, validation and monitoring of PD, EAD, and LGD models . You will help the firm understand, manage, and anticipate risks in a constantly changing environment. The work covers areas such as evaluating country-specific risks, understanding regulatory changes and determining credit worthiness.If you are intellectually curious and have a passion for driving solutions across organizational boundaries, you may be the perfect fit for our team.

Job Responsibilities:

• Design, develop, test, and validate statistical models for Home Lending portfolio risk forecast and model performance monitoring
• Utilizing graduate-level research and analytical skills to perform data extraction, sampling, and statistical analyses using logistic regression, multinomial regression, multivariate analysis, discriminant analysis, time series analysis, panel data analysis, etc.
• Efficiently design and produce programs to streamline and create repeatable procedures for model development, validation, and reporting
• Process, cleanse, and verify the integrity of data used for analysis
• Perform deep dive analysis to address ad hoc inquiries

Required qualifications, capabilities, and skills

• MS, Engineering or PhD degree in a quantitative discipline
• 5+ years of hands-on work and research experience of advanced analytical skills in the areas of statistical modeling and data mining
• Proficiency in advanced analytical languages such as SAS (Preferred), R, Python
• Experience utilizing SQL in a relational database environment such as DB2, Oracle, or Teradata
• Ability to deliver high-quality results under tight deadlines
• Strong multi-tasking skills with demonstrated ability to manage expectations and deliver results

Preferred qualifications, capabilities, and skills

• Knowledge of regulatory modeling (IFRS9/CECL/CCAR preferred)