Credit Risk Modeling Associate
Job Description
Wholesale Transaction Credit Risk Modeling
Atlanta GA
The position is in the Credit Risk Modeling Team, part of the Risk Analytics Group. Primary responsibility of this role is to provide analytical support in the development, implementation, monitoring and maintenance of Basel II compliant quantitative risk measurement models such as PD, LGD and EAD for the wholesale portfolios in the bank. Wholesale portfolios include Commercial Industrial, Corporate Banking, Commercial Real Estate, Wealth Investment Management etc.
A successful candidate will have demonstrated ability to handle all aspects of model development process including methodology selection, data collection and analysis, testing, prototyping, documenting, performance monitoring and backtesting in compliance with Basel II and other regulations. Sound technical background with working knowledge of commonly used statistical techniques including Linear and Logistic regression, Decision Trees, Monte-Carlo simulation, Time Series etc. is required as is working knowledge of corporate accounting statements.
Modeling with econometric variables and/or experience in building and refining models for low default portfolios using external market data to augment limited internal data are a plus.
The job requires working closely with cross-functional teams comprising of experts from Credit Risk, Lines of Business, Credit policy etc. to incorporate expert judgment in the modeling process. As a result excellent communication and presentation skills are required.
Desired Skills Experience
Basic Qualifications
- Master's degree/MBA in finance, banking or another quantitative field such as Mathematics, Economics, Statistics, or Engineering.
- Demonstrated technical proficiency related to the position, including Probability and Statistics.
- Strong quantitative, finance and statistical background including extensive background in use of software to support quantitative analysis covering Excel, Access, VBA, SAS, UNIX, SQL etc.
- Excellent communication and presentation skills.
- 2+ years minimum work experience in quantitative analysis. Prior credit risk modeling experience preferred.
- Team player, able to perform well in a cross functional team set up.
Contact: Brad Kruse @ +1 310 807 5028
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While a resume is preferable we also welcome tentative enquiries from well-qualified persons. To speak with an agent please contact one of our regional offices using the contact details listed below. Utmost confidentiality and discretion is assured.
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