CECL Model Development Expert

Join a leading financial institution as a CECL Model Development Expert, where you will drive methodological leadership in developing models and quantitative approaches for PD, LGD, and EAD estimates, including multi-period models. You will also work on modeling macroeconomic impacts on credit losses and stochastic algorithms (Monte Carlo). This role involves hands-on research and development of quantitative approaches to estimate credit risk.

Responsibilities:

Lead methodological advancements and hands-on development of credit risk models.

Conduct data analysis and SQL queries.

Develop econometric models and quantitative approaches for credit risk estimation.

Model macroeconomic impacts on credit losses using advanced statistical techniques.

Requirements:

Extensive experience in data analysis and SQL querying.

At least 3 years of experience in developing credit risk models and methodologies.

Academic background with a Master's degree in a quantitative field (Mathematics/Statistics/Econometrics) – required.

Experience in SAS Guide and common SAS procedures – advantage.

Research experience, including thesis/PhD – significant advantage.

Familiarity with credit risk management processes in a banking corporation – advantage.

Knowledge and experience in developing models based on advanced statistical methods/ML – advantage.

Managerial experience in leading teams and/or projects – advantage.