Duties/Responsibilities:
An experienced quantitative developer for Wholesale Credit Risk Loss Forecasting modeling (CECL/ CCAR/IFRS9).
Build next generation analytics platform and tools to support / analyze model performance via backtesting, sensitivity and explain, etc, for various applications including CCAR and IFRS9/CECL usages
Research, develop, and improve the model performance via more advanced statistical methods in machine learning
Coordinate with other QR teams in model development and analysis.
Work closely with Tech team delivering the model implementation into production.
Minimum education required:
Advanced degree in Computer Science, Statistics, or related quantitative field.
Minimum experience required:
Mathematical modeling and implementation experience in financial industry.
Minimal skills required:
A 1 to 2 year development experience as a data scientist working on large data projects (data transformation, data analytics, model development, and model validation).
Strong analytical programming skills (Python, C++) and cross-platform experience with big data (Spark/Hadoop/KDB, etc)
Ability and motivation to take initiative and solve problems independently
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