Risk Mgmt


Quantitative Risk Manager  Wilmington, DE  
Job Description

Job ID#:

1556

Job Category:

Risk Mgmt

Position Type:

Full-time/Perm


One of our top financial clients has a new opening available in their Wilmington DE location.  This role will be an independent contributor position and reporting directly into the SVP of Model Risk Mgmt.  The Quantitative Risk Manager (Modeling & Analytics) will perform the following duties:
 
Build Enterprise Risk Models and supporting strategies to solve business issues.
Conduct periodic model validations to identify performance issues.
Provide modeling domain expertise in evaluating alternative modeling approaches.
Perform R&D on analytical topics as assigned with focus on business application.

 
Job Requirements

 


  • 2+ years of progressively responsible roles in financial credit risk management and analytics

  • Degree in statistics, economics or math (advanced degree is desired).

  • Sound knowledge of credit risk/portfolio management procedures and principles.

  • Knowledge and practical application of data mining and statistical principles involved in model development.

  • 1-3 years’ experience with developing statistical loss forecasting models including loan level and vintage models in support of CECL. Strong background in stress testing under various economic conditions.

  • Provide expert assessment of the quantitative aspects of CECL models and methodology including but not limited to assessment of key assumptions such as portfolio segmentation, look back period, loss emergence period, sampling, loss rate calculation approach , i.e. expected loss framework (PD/LGD/EAD). Conduct and provide assessment of econometric sensitivity, back testing over multiple time periods and end of life forecasts.

  • Strong background in building models across the customer risk life cycle. Model governance experience is a big plus.

  • Strong applied background in both traditional models (Logistic regression, Time series, Survival etc) and Machine Learning Models.

  • Top-notch analytical and communication skills with a proven ability to understand complex problems, detect trends, and understand data to develop and formulate solutions.

  • 2+ yrs experience with Python or R required (including SAS).




 

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