Santander Bank, NA Quantitative Risk Manager, Model Development in Boston, Massachusetts

Quantitative Risk Manager, Model Development - 1805905

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Description

As part of the model development team, you will be responsible fordeveloping, delivering, signing-off on, and supportingadvanced regulatory-compliant credit models, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models. These models will be used for risk ratings, stress testing and allowance for credit losses for the bank’s low-default wholesale portfolios and/or constitute the basis for the optimization of economic capital and the management of portfolio risk adjusted performance measures. From a broader viewpoint, this position supports the bank's managementand business leaders in the context of regulatory capital requirements and provisions.

The model development resides on high standards using solid conceptual credit risk foundations. Extensive use of advanced statistical techniques is applied to detailed credit data sourced both internally and externally. You will act as an expert resource in the fields of credit risk quantification and modeling, working closely with your team members and other stakeholders both internal and external such as business and risk areas, model validation, corporate audit, and regulatory authorities.

Position Duties:

  • Develop, enhance, implement and document advanced Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models used in credit loss forecasting and/or risk ratings process.

  • Keep current with the best practices recommended by the bank regulators.

  • Provide the business and senior management with advice and support, acting as an expert resource in the fields of risk quantification and modeling, and working closely with other stakeholders both internal and external, such as business areas & regulatory.

  • Research the econometric and financial academic and industry literature to keep current with the best practices of the PD, LGD and EAD modeling framework.

  • When applicable manage the model development work done by outside third party vendors.

  • For relevant portfolios and segments, provide periodic data extracts from internal databases and prepare summary analyses based on those.

  • Actively commutate and collaborate with other modeling and non-modeling teams within the organization to ensure full transparency.

  • Manage and mentor more junior quantitative analysts within the team

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Qualifications

Qualifications:

  • Ph.D. degree in economics, finance, statistics, financial engineering, or a related field combined with 3-4 years of relevant work experience in the financial industry or master’s degree in the above mentioned areas combined with 5-7 years of relevant work experience in the financial industry. The industry experience must include credit risk modeling work at a financial institution (wholesale/commercial credit risk modeling experience is a plus).

  • Strong understanding of point-in-time (PIT) and through-the-cycle (TTC) PD and rating approaches.

  • Advanced knowledge of applied statistical techniques such as linear and non-linear regression, logistic models, time series analysis and forecasting, panel data analysis, optimization, data mining and survival analysis.

  • Advanced programming skills in SAS, SQL, Matlab, R or similar software.

  • Advanced word processing, spreadsheet, and power point skills.

  • Familiarity with the third party/vendor data and models in the credit risk area is a plus.

  • Good working knowledge of stress testing models used in CCAR/DFAST and a broad understanding of risk model regulatory requirements is a plus.

  • Can-do attitude, creative thinker with a proactive mindset.

  • Team player, prepared to work under pressure close to deadlines.

  • Strong time management skills.

  • Excellent written and verbal communication with a focus on detailed and clear technical writing.

Job : Risk Management Strategy
Primary Location : Massachusetts-BOSTON

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Organization : CRO (8855)
Schedule : Full-time
Job Posting : Sep 14, 2018, 1:23:57 PM

AN EQUAL OPPORTUNITY EMPLOYER M/F/Vet/Disabled/SO