Senior

About the role

First Line of Defense, including Model Development, Model Monitoring, Recalibration, Model Tuning. Develop Regulatory Capital Models compliant with Basel III/IV standards and IRB approaches. Estimate PD, LGD, EAD, and Prepayment for retail (Credit Cards, Residential Mortgage, HELOC, etc.) and wholesale (Commercial and Industrial, Commercial Real Estate, etc.) portfolios.

What you'll do

• Develop Regulatory Capital Models compliant with Basel III/IV standards and IRB approaches. Estimate PD, LGD, EAD, and Prepayment for retail (Credit Cards
• Develop and calibrate models for predicting Expected Credit Losses under US GAAP’s CECL and IFRS 9 standards. Integrate forward-looking perspectives
• Develop and maintain Underwriting and Origination Models including classification models for pre-approval, approve/decline, etc. and regression models for limit setting
• Design and implement models for Stress Testing and Scenario Analysis. Incorporate regulatory (CCAR, DFAST) and internal stress scenarios, projecting losses
• Develop and implement segmentation, pool assignment, and scorecard strategies as appropriate. Select and justify appropriate model methodology (traditional model vs…

What you need

• Machine learning
• Statistics
• IFRS
• Performance testing
• Underwriting

Good to have

• CFA