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Description
We are looking for a experienced quantitative credit risk professional that will participate and lead in design, development, testing and execution of credit risk models that cover CCAR/ DFAST Stress Testing, CECL (ACL), Economic Capital, BAU Loss Forecasting and other applications like lifetime loss for pricing for Bank’s Lending Portfolios. Professionals with experience collaborating with risk and line professionals beyond the modeling environment in order to collaboratively solve for client and banking needs will find the environment at Citizens particularly satisfying.
Primary responsibilities include
Develop and support statistical/econometric credit risk models, including probability of default (PD), recovery/loss given default (LGD), and valuation models, looking at correlations, concentrations, rating migrations, and risk contributions.
Work with business line partners in embedding and socializing 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
Analyze consumer lending portfolio trends in support of portfolio strategies and application.
Draw from source systems and maintain large data sets using advance statistical/modeling tools. Work with appropriate parties to resolve or remediate data quality issues.
Maintain, review, and adhere to organization’s credit policy; verifying the integrity of the underlying data; constant monitoring and validation of the underlying theories and methodologies.
Support implementation of models development, including third party vendor solution tools for credit risk
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 CFG credit risk models. Assure quality and leading-edge nature of work by helping to solve problems faced by others
Required Skills:
7+ years experience in financial industry working with developing models.
Prior experience in loss forecasting model development in consumer or commercial lending portfolios (consumer preferred).
Strong understanding of commercial banking and lending products.
Strong knowledge of statistical software packages; previous experience in data mining, demonstrated experience / expertise in problem solving Extensive understanding of relational databases and ability to effectively utilize statistical software – SAS, Stata, R and Python.
Background and knowledge of the FASB CECL, DFAST rules and other banking regulations like Fair lending Act.
Understanding of compliance and implications of FDIC, OCC, FRB regulatory frameworks as well as U.S. accounting standards.
Education:
BA Degree in quantitative field required – Econometrics, Statistics, Mathematics, Operational Research, Physics.
PhD or Master’s degree preferred
Hours & Work Schedule: Hybrid in Boston MA Office 3 days a week, 2 remote
Hours per Week: 40
Work Schedule: Monday-Friday
Some job boards have started using jobseeker-reported data to estimate salary ranges for roles. If you apply and qualify for this role, a recruiter will discuss accurate pay guidance.
Equal Employment Opportunity
At Citizens we value diversity, equity and inclusion, and treat everyone with respect and professionalism. Employment decisions are based solely on experience, performance, and ability. Citizens, its parent, subsidiaries, and related companies (Citizens) provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to age, ancestry, color, citizenship, physical or mental disability, perceived disability or history or record of a disability, ethnicity, gender, gender identity or expression (including transgender individuals who are transitioning, have transitioned, or are perceived to be transitioning to the gender with which they identify), genetic information, genetic characteristic, marital or domestic partner status, victim of domestic violence, family status/parenthood, medical condition, military or veteran status, national origin, pregnancy/childbirth/lactation, colleague’s or a dependent’s reproductive health decision making, race, religion, sex, sexual orientation, or any other category protected by federal, state and/or local laws.
Equal Employment and Opportunity Employer
Citizens is a brand name of Citizens Bank, N.A. and each of its respective affiliates.
Why Work for Us
At Citizens, you'll find a customer-centric culture built around helping our customers and giving back to our local communities. When you join our team, you are part of a supportive and collaborative workforce, with access to training and tools to accelerate your potential and maximize your career growth
Background Check
Any offer of employment is conditioned upon the candidate successfully passing a background check, which may include initial credit, motor vehicle record, public record, prior employment verification, and criminal background checks. Results of the background check are individually reviewed based upon legal requirements imposed by our regulators and with consideration of the nature and gravity of the background history and the job offered. Any offer of employment will include further information.
07/01/2024