Quantitative Model Validation Analyst – Credit Risk

U.S. Bank

Base: $105,400.00 - $124,000.00; bonus/equity: not...
Stress testing (ccar) and cecl estimations
Statistical model validation
Risk forecasting models
This role will be part of a highly visible and dynamic quantitative risk function within U.S. Bank that leads Stress Testing (CCAR) and Current Expected Credit Losses (CECL) estimations

Job Summary

  • This role will be part of a highly visible and dynamic quantitative risk function within U.S. Bank that leads Stress Testing (CCAR) and Current Expected Credit Losses (CECL) estimations.
  • The primary duty of the job is to create, validate, test, document, implement and/or oversee usage of complex statistical models that are used as part of financial decision-making process.
  • Our approach to benefits and total rewards considers our team members’ whole selves and what may be needed to thrive in and outside work.

Matching Summary

This role will be part of a highly visible and dynamic quantitative risk function within U.S. Bank that leads Stress Testing (CCAR) and Current Expected Credit Losses (CECL) estimations.

Salary

Base: $105,400.00 - $124,000.00; Bonus/Equity: Not specified; Benefits: Comprehensive benefits package

Skills & Requirements

Must-have

  • Stress Testing (CCAR) and CECL estimations
  • statistical model validation
  • risk forecasting models
  • Probability of Default (PD) models
  • Loss Given Default (LGD) models
  • Exposure at Default (EAD) models
  • large data handling

Nice-to-have

  • presentation and negotiation skills
  • interact with senior management
  • regulatory compliance knowledge

Key Requirements

  • Bachelor's degree in quantitative field and 5+ years experience
  • MA/MS in quantitative field and 3+ years experience
  • PhD in quantitative field and <2 years experience
  • Three plus years of large size commercial bank working experience in risk model validation
  • Advanced statistical programming skills in Python, SAS, R, SQL

Work Rights

Not specified

Tailored Resume

Cover Letter