Senior Credit Risk Model Development Leader - CECL

Join a leading financial institution as a Senior Credit Risk Model Development Leader focused on CECL. In this pivotal role, you'll lead the development of cutting-edge models and quantitative approaches for estimating PD, LGD, and EAD, including multi-period models. Your expertise will shape the modeling of macroeconomic impacts on credit losses and the implementation of stochastic algorithms, such as Monte Carlo simulations.

Responsibilities:

Spearhead methodological innovations and hands-on development of advanced credit risk models.

Perform in-depth data analysis and craft SQL queries to support model development.

Design and refine econometric models for precise credit risk estimation.

Incorporate macroeconomic factors into credit loss models using sophisticated statistical techniques.

Requirements:

Extensive experience in data analysis and SQL.

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

Master’s degree in a quantitative field (Mathematics/Statistics/Econometrics) – required.

Experience with SAS Guide and common SAS procedures – an advantage.

Academic research experience, including a thesis or PhD – a significant advantage.

Familiarity with credit risk management in a banking environment – an advantage.

Knowledge of advanced statistical methods/ML in model development – an advantage.

Proven experience in leading teams or managing projects – an advantage.