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Commercial Credit Loss Forecasting Quantitative Modeler
NPAworldwide Recruitment Network
NPAworldwide Recruitment Network
How to Apply:

Job Location: Kansas City, KS

Job #: 7505
Title: Commercial Credit Loss Forecasting Quantitative Modeler
Job Location: Kansas City, Kansas - United States
Employment Type:
Salary: $110,000.00 - $190,000.00 - US Dollars - Yearly
Employer Will Recruit From: Nationwide
Relocation Paid?: Yes


Commercial Credit Loss Forecasting Quantitative Modeler


Client is seeking an experienced Commercial Credit Loss Forecasting Quantitative Modeler

risk professional that will participate in the design, development, testing and execution of commercial credit risk models that cover CCAR/ DFAST Stress Testing, ALLL (including CECL), Economic Capital, BAU Loss Forecasting and other applications such as lifetime loss for pricing for Banks commercial lending portfolio. Professionals with experience collaborating with risk and line professionals beyond the modeling environment to collaboratively solve for client and banking needs will find the environment at Citizens particularly satisfying.


Chief responsibilities of the Commercial Credit Loss Forecasting Quantitative Modeler include:

  • Mature and support statistical/econometric credit risk models, including default prediction, recovery, and valuation models, looking at correlations, concentrations, rating migrations, and risk contributions
  • Collaborate with business line partners and risk managers to embed and socialize these models and support them with on-going requests
  • Work with the independent model validation team internally to get models approved after development work is complete
  • Evaluate commercial lending portfolio trends in support of portfolio strategies and applications
  • Draw data from source systems and maintain data sets using advanced statistical/modeling tools.
  • Work with appropriate parties to resolve or remediate data quality issues
  • Back the Banks efforts on Credit Policy and Risk Appetite, including verifying the integrity of the underlying data and rationale, as well as monitoring and validation of the underlying theories and methodologies
  • Support the implementation activities around the developed models Prepare any ad-hoc risk quantification projects at the request of management
  • Participate in peer review sessions and maintain awareness of new advances in credit risk modeling techniques to ensure the application of best practices to Citizens credit risk models. Assure quality and leading-edge nature of work by helping to solve problems faced by others

Qualifications & Required Skills of the Commercial Credit Loss Forecasting Quantitative Modeler:

  • At least 3 years of experience in commercial/wholesale banking credit modeling, including previous experience in data mining
  • Demonstrated experience / expertise in problem solving/working collaboratively outside of a modeling environment
  • Robust understanding of commercial banking and lending products. Experience in a lending and credit capacity would be a plus
  • Prior experience in loss forecasting in retail or wholesale portfolios (commercial preferred)
  • Background and knowledge of the Basel, CCAR/DFAST rules and regulations
  • Understanding of compliance and implications of Basel, FDIC, OCC, FRB regulatory frameworks as well as U.S. and International accounting standards
  • Extensive understanding of relational databases and ability to effectively utilize statistical software such as SAS, Stata, and R
  • PhD or Masters degree in Economics/ Statistics/ Finance/ Physics/ Mathematics preferred

University - Bachelor`s Degree/3-4 Year Degree

How to Apply:

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