Senior Quantitative Credit Modeler
_Salary Range Dependent on qualifications. _
_ _ _** This is a new search. We need a Quantitative Credit Modeler with the advanced skills listed._
_Search For: financial modeling, credit risk, liquidity risk, residential mortgage, commercial mortgage, whole loans, credit model development, model validation, Counterparty Credit Risk, Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), Capital Valuation Adjustment (KVA), Initial margin, Value-at-Risk (VaR), quantitative interest rate risk management modeling, quantitative programming, data analysis, database skills, as: MATLAB, C/C++, R, Python, Stata, SQL, Visual Basic, CFA, FRM._
Position Title Senior Quantitative Credit Modeler - OH #3318
_Likely $80k to $100k._
Location Cincinnati OH
Develops, implements, and operates default/loss models, utilizing sophisticated quantitativefinancial modeling, statistical techniques and computational skills to predict, evaluate and manage credit risk models across various loan and securityportfolios. Performs complex work assignments and problem resolution under minimal supervision while working collaboratively with end user business departments and third party model vendors.
Principal Duties and Responsibilities:
(1) Leads the design, development, testing, implementation and management of predictive loan level and portfolio level credit risk models utilized by the organization.
(2) Conducts monitoring of credit model performance such as assessing the conceptual soundness, evaluating model assumptions and data integrity, testing numerical, statistical, and/or computational accuracy, performing outcomes analysis, benchmarking, stress testing/scenarion analysis and backtesting, and reviewing model governance and control process.
(3) Evaluates the mathematical, statistical, theoretical and conceptual soundness of various credit models.
(4) Supports relationship with senior management and external regulators and business departments responsible for accepting credit risk.
(5) Communicates model concepts and results to internal management and external regulators.
Minimum Knowledge, Skills and Abilities Required:
(1) Master's degree in mathematics, finance, physics, actuarial science, statistics, financialengineering, operational research, economics or other highly quantitative field required.
(2) Five years' experience working with financial modeling and statistical techniques.
(3) Advanced working knowledge of credit, market and liquidity risks associated with residential and commercial mortgage securities and whole loans.
(4) Proven track record of strong technical credit model development and use, model validation, and/or model oversight in one or more of the following areas: Counterparty Credit Risk, Potential Future Exposure (PFE), Credit Valuation Adjustment (CVA), Capital Valuation Adjustment (KVA), Initial margin, Value-at-Risk (VaR), quantitative interest rate risk management modeling.
(5) Advanced working knowledge of quantitative programming, data analysis, database skills, numerical and statistical tools such as: MATLAB, C/C++, R, Python, Stata, SQL, Visual Basic.
(6) Industry certifications preferred (e.g., CFA, FRM).
(7) Excellent verbal and written interpersonal communication skills in conveying concepts to both technical and non-technical stakeholders.
(8) Ability to structure and solve complex modeling problems using deterministic and probabilistic techniques.
BOTTOM LINE REQUIREMENTS WE NEED NOTES ON WITH CANDIDATE SUBMITTAL:
1. MASTER\'S DEGREE IN MATHEMATICS, FINANCE, PHYSICS, ACTUARIAL SCIENCE, STATISTICS, FINANCIAL ENGINEERING, OPERATIONAL RESEARCH, ECONOMICS OR OTHER HIGHLY QUANTITATIVE FIELD REQUIRED.
2. 5+ YEARS OF EXPERIENCE WORKING WITH FINANCIAL MODELING AND STATISTICAL TECHNIQUES.
3. ADVANCED WORKING KNOWLEDGE OF CREDIT, MARKET AND LIQUIDITY RISKS ASSOCIATED WITH RESIDENTIAL AND COMMERCIAL MORTGAGE SECURITIES AND WHOLE LOANS.
4. PROVEN TRACK RECORD OF STRONG TECHNICAL CREDIT MODEL DEVELOPMENT AND USE, MODEL VALIDATION, AND/OR MODEL OVERSIGHT IN ONE OR MORE OF THE FOLLOWING AREAS: COUNTERPARTY CREDIT RISK, POTENTIAL FUTURE EXPOSURE (PFE), CREDIT VALUATION ADJUSTMENT (CVA), CAPITAL VALUATION ADJUSTMENT (KVA), INITIAL MARGIN, VALUE-AT-RISK (VAR), QUANTITATIVE INTEREST RATE RISK MANAGEMENT MODELING.
5. ADVANCED WORKING KNOWLEDGE OF QUANTITATIVE PROGRAMMING, DATA ANALYSIS, DATABASE SKILLS, NUMERICAL AND STATISTICAL TOOLS SUCH AS: MATLAB, C/C++, R, PYTHON, STATA, SQL, VISUAL BASIC.
6. INDUSTRY CERTIFICATIONS PREFERRED (E.G., CFA, FRM).
7. SALARY REQUIREMENT