Quant Modeling

What you'll do

• Drive validation of forecasting models for consumer lending portfolio including CCAR and CECL.
• Assess conceptual soundness, assumptions, input reliability, and outcomes of credit lending models.
• Design and execute tests for scenario analysis, loss forecasting, stability, and sensitivity.
• Compare model outputs to empirical evidence, industry benchmarks, and historical performance.
• Communicate validation results and risk issues to Model Developers, Risk teams, and Internal Audit.
• Monitor model performance, document findings, and recommend improvements for regulatory compliance.
• Maintain and enhance model risk controls for consumer lending, escalate issues, and assess resolutions.

What we're looking for

• PhD in a quantitative field plus 3 years of experience or Master's degree plus 5 years in related roles.
• Experience developing and validating models for financial institutions including stress tests and allowance models.
• Proficiency in statistical analysis using logistic regression, multivariate regression, machine learning techniques like XGBoost.
• Expertise in designing and automating model validation quantitative analysis with SAS and Python.
• Ability to review model outputs, monitor performance, identify risk issues, and ensure compliance with regulatory standards.
• Knowledge of CCAR, CECL, and SR 11-7 model risk management standards for consumer lending products.