Wholesale Credit Loss Modeling

• Research, develop, and maintain wholesale credit loss models used for regulatory stress testing and reserves setting including CCAR/DFAST/CECL/IFRS9/ICAAP/EBA and internal stress testing
• Support business, finance, risk managers, fundamental credit risk, model validation, internal audit, and banking supervisors for stress testing related discussions
• Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics
• Actively engage across all model development teams with CORA, including PD/LGD/EAD models, and risk rating models.

• Master’s degree in a quantitative field: Econometrics, Statistics, Math, Physics, Finance, Applied Science, Computer Science or Engineering, PhD preferred
• 3-5 years of experience in quantitative financial modeling
• Hands-on experience with the research, development, and implementation of credit risk models
• Strong programming skills in Python, R, or other languages used for quantitative modeling and data analysis
• Extensive knowledge of wholesale credit products and financial markets at a financial institution
• Good knowledge of bank stress testing in wholesale credit portfolios
• Familiar with statistics packages and regression models
• Excellent communication skills, verbal as well as written.

Experience in CCAR/EBA/ICAAP stress testing, PD/LGD/EAD modeling, or CECL/IFRS9 calculation.

• Medical, dental & vision coverage
• 401(k)
• Life, accident, and disability insurance
• Wellness programs
• Paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.