JOE Listings (Job Openings for Economists)
February 1, 2018 - July 31, 2018
Position Title/Short Description
Section: Full-Time Nonacademic
Location: Boston, Massachusetts, UNITED STATES
JEL Classification: 00 -- Default: Any Field
Full Text of JOE Listing:
We are looking for an experienced quantitative analysts that will participate in the design, development, testing and execution of various models that cover credit risk parameters such as probability of default (PD), loss given default (LGD), ALLL (including CECL) and Loss Forecasting (CCAR) for Bank’s commercial/consumer lending portfolio.
Primary responsibilities include:
• Develop statistical/econometric credit risk models, including default prediction, recovery, and valuation models, looking at correlations, concentrations, rating migrations, and risk contributions.
• Collaborate with business line partners and risk managers to socialize these models and support them with on-going requests.
• Work with the independent model validation team to get models approved after development work is complete
• Analyze portfolio trends in support of strategies and applications
• Support the implementation of the developed models.
• Prepare ad-hoc risk quantification projects at the request of management
• At least 5 years of experience in academic setting. Experience in a lending and credit capacity would be a plus.
• Extensive understanding of relational databases and ability to effectively utilize statistical software such as SAS, Stata, and R.
• PhD or Master’s degree in Economics/ Statistics/ Finance/ Physics/ Mathematics preferred
- Application Instructions Below
Please email resume to the recruiter for this role, Kimberly Preston. In the subject heading, please indicate the position: Quantitative Credit Risk Modeler , Citizens Bank