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Quantitative Finance Analyst
Ref No.: 17-23034
Location: Atlanta, Georgia
Job Description
Enterprise Model Risk Management seeks a quantitative finance analyst to conduct independent testing and review of complex consumer credit risk models with multiple uses, including CCAR credit loss forecasting and Basel regulatory capital. These are high profile modeling areas in the bank, with continual senior management and regulatory focus.
The qualified candidate will be responsible for a broad range of model validation activities, including:
(1) Review, critical assessment and challenge of models on conceptual soundness, assumptions and limitations, data, developmental evidence in support of modeling choices, performance, implementation and documentation;
(2) Development and implementation of testing plans and testing code in order to challenge models through empirical analyses and to verify model implementation;
(3) Review and critical assessment of ongoing model monitoring activities;
(4) Writing of technical reports for distribution and presentation to model developers, senior management, audit and banking regulators.
Qualifications:
  • PhD or Master's degree in Statistics, Economics, Mathematics, Finance, Engineering, Physics or related field
  • Background and experience with complex, loan-level PD/EAD/LGD models used for stress testing and other credit risk management purposes
  • Experience with retail products including mortgage, credit card and auto loans
  • Expertise in cross-sectional and time-series econometrics
  • Deep understanding of model performance measures
  • Extensive programming experience using SAS, R and/or MATLAB
  • Experience working with large datasets
  • Knowledge of financial instruments and financial risk management principles
  • Minimum of 2 years of experience in financial risk modeling or validation
  • Familiarity with applicable regulatory guidance on model risk management, stress testing, and Basel requirements
  • Strong project management skills
  • Ability to communicate clearly and effectively, and influence others
  • Ability to produce high quality technical documentation
More Information About the Job
Is Relocation Available?
Yes, nationwide
Are you open to sponsorship?
No
Is there a possibility to work remote?
No
Is there equity?
No
Are there flexible work hours?
No
Does this position have direct reports?
No
Statement to Third Party Agencies
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