- Develop Basel compliant Probability of Default, Loss Given Default and Exposure at Default models for the Commercial Bank.
- Work under the guidance of the reporting manager during the model development process
- Actively participate in all stages of model development from data collection, model building, model validation, testing and calibration
- Support the implementation of models in the Risk Rating platform and connectivity with other loan systems and data marts.
- Develop comprehensive model documentation that stands up to Capital One and regulatory standards
- Understanding technical issues in econometric and statistical modeling and applying these skills toward solving business problems
- Communicating technical subject matter clearly and concisely to individuals from various backgrounds
- Develop, maintain and enhance econometric models for various R&D projects, such as macro-economic linkage model and stress testing methodology.
- Work on various ad hoc quantitative, modeling, and programming assignments using R, Python, SAS, Matlab, SQL, Access and VBA.
- Bachelor’s degree in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Business or Physics
- At least 2 years’ of experience in econometric or statistical modeling of credit risk
- At least 2 years’ of experience with SAS, Matlab, R or Python=
- Master’s degree or PhD in Statistics, Economics, Mathematics, Financial Engineering, Operations Research, Business or Physics
- 4+ years’ experience in econometric/statistical modeling of credit risk within a commercial bank or a risk consulting firm
- Deep understanding and knowledge of commercial banking business and Basel framework
- Experience in underwriting, deal structuring, credit analysis or credit portfolio management
- Professional qualifications (CFA, FRM, etc) a plus
- Strong verbal and written communication and presentation skills
- Strong influencing skills and ability to partner/collaborate across functions
- Results driven approach to work
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