BASIC FUNCTION:Quantification and analysis of Business Banking Credit Risk using data driven statistical methodology. Interpret findings and present to senior management. Identify solutions to optimize risk/return equation
RESPONSIBILITIES:Conduct analyses of origination, financial, demographic, behavioral, market, and economic data. Interpret results, present findings and recommendations to senior managementCreate credit risk models for the prediction and forecasting of expected loss within the Business Banking portfolios. Create Basel II compliant models for the Probability of Default (PD), Loss Given Default (LGD) and Loan Equivalency (LEQ)Determine optimum origination strategies based on profit, expected loss, elasticity of demand, fixed and variable costs, and capital requirementsDefine, develop, and implement strategies for underwriting to include policies for automated decisioning of credit requestsPartner with the business to identify opportunities for process efficiency gains through the use of empirically based decision strategies for credit and marketing activities. Ability to develop ad hoc processes to address efficiency gains, and translates into repeatable proceduresInterface with a wide range of end-client personnel to explain the benefits, limitations, assumptions, and requirements for proposed scorecards, solutions and strategiesDocumentation and validation of results and processesSignificant interaction with Senior Management, Business banking, external consultants, vendors and peer banksBASIC QUALIFICTIONS:Bachelor’s degree in Quantitative Finance, Econometrics, Statistics, mathematics, or other related discipline required. Equivalent experience in a risk quantitative position will be consideredMinimum five years experience in quantitative analysis, preferably in the financial services industry with an emphasis in the area of risk managementDemonstrated technical ability to obtain information from disparate sources, including production and ad hoc systems, linking and analyzing the information, performing data integrity checks and exploratory data analysisFive years experience preparing written documentation and/or papers/publicationsTechnical experience in Mainframe and/or PC environments. Ability to apply technical skills to solve business process problemsThree years experience with SAS or other modeling or statistical software
IDEAL QUALIFICATIONS:Master’s degree in Quantitative Finance Econometrics, Statistics, Mathematics, or other related disciplineFive years experience with SAS or other modeling or statistical software
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