Quantitative Credit Risk Modeler (PhD)

  • Competitive
  • Denver, CO, USA Denver CO US
  • Permanent, Full time
  • Analytic Recruiting Inc.
  • 11 Jun 18 2018-06-11

A Denver based financial firm is looking for a Quantitative Modeling Associate to develop analytical methods and models that assess the credit risk of consumer and wholesale financial products.

Responsibilities:

  • Develop quantitative models that analyze credit losses (current expected credit loss) CECL
  • Develop CECL forecasting models, stress testing models and credit risk analytics
  • Develop and work with quantitative models for analyzing: the bank’s core deposit behavior; loan prepayments; and loan valuations
  • Work directly with institutional clients on risk analytic models and projects
  • Develop stress testing scenario analysis models
  • Provide Credit Risk consulting services to clients

Requirements:

  • 2-3 years of CECL model development and CCAR/DFAST stress testing experience
  • Must have an advanced Quantitative degree, PhD preferred
  • Must have advanced quantitative statistical modeling skills (Regression, Time-Series, Data Mining, Survival Analysis, Sensitivity, Backtesting)
  • Must have advanced statistical programming in R and Python
  • Candidate must have experience with the following models: (Prepayment, Credit Risk, Economic, CECL)
  • Must have superior communication skills and a desire to work closely with the firm’s clients

Keywords: Scenario Analysis, Stress Testing, CECL, Loan Loss Forecasting, CCAR, DFAST, Statistical Modeler, R

Please refer to Job #23032 - and send MS Word attached resume to jeg@analyticrecruiting.com