VP, Credit Modeling Specialist

Full Time

Madison-Davis Client

EXTERNAL CLIENT ROLE

Summary:

New York Branch maintains a highly diversified loan portfolio, including corporate, financial institutions, project finance, commercial real estate and public finance. To maintain high quality in its underwriting and ensure robust risk management, the Bank builds a Modeling Team.

The incumbent is tasked primarily with developing and maintaining wholesale credit loss models used for credit provisioning i.e. Current Expected Credit Losses (CECL) and internal stress testing. Other key tasks include model validation support, model implementation support, ongoing monitoring, and data  management. Support in maintaining the relevant policies and procedures is also a key function of this position.

Job Responsibilities:

  • Research, develop, and maintain wholesale credit loss models used for credit provisioning i.e. Current Expected Credit Losses (CECL) and internal stress testing.
  • Actively engage across all model development initiatives, including PD/LGD/EAD models, and CECL models.
  • Support business, finance / accounting, credit risk analysts, model validation, internal audit, and banking supervisors for stress testing related discussions.
  • Actively participate in the analysis and interpretation of results, incorporating feedback as appropriate into models and metrics.
  • Assist in maintaining ongoing monitoring of model performance.
  • Assist in managing the model related documentation.
  • Assist in integrating the models in the internal online system.
  • Assist in preparing stress testing / credit provisioning related policies and procedures.
  • Assist in working team administration.
  • Other assigned responsibilities.

Job Requirements:

  • Master’s degree or above in finance, financial engineering, mathematics or other relevant subjects.
  • 3-5 years of experience in the relevant fields including whole credit model development, or validation.
  • Hands-on experience with the research, development, and implementation of credit risk models.
  • Good knowledge of bank stress testing in wholesale credit portfolios.
  • Experience in CECL/IFRS9 calculation, PD/LGD/EAD modeling, or CCAR/EBA/ICAAP stress testing is a plus.
  • Sound understanding of banking credit principles.
  • Excel, Word, Power point skills.
  • Proficient in SAS or R. Python is a plus.
  • Good knowledge and understanding of credit model management.
  • Knowledge of credit products and lending principles.
  • Knowledge of the financial markets, reporting and banking operations.
  • Analytical, critical thinking and problem solving skills.
  • Good communication skills, both written and verbal.
  • Self-motivated, goal-oriented, and able to take multiple tasks at the same time,
    and work under pressure.

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