DESCRIPTION:
Duties: Develop portfolio risk models using econometric methodology utilizing loan level forecasting methods to support stress testing and business planning exercises. Prepare summaries and presentations of intricate econometric and statistical models used for credit forecasting and regulatory purposes. Review and vet model results to ensure accurate and error free reporting to business partners. Perform analysis and reporting regarding model performance, trends and provide recommendations to assist in business decision making. Develop variance analysis using capital and loss forecast model outputs based on portfolio trends, planned business actions and model components/assumptions. Partner with other quantitative modeling teams to provide vision, business intuition, and build best-in-class models and analytical frameworks for forecasting risk weighted assets. Support Capital Forecast model stress testing including CCAR, CECL, and BASEL. Test, validate and perform outcome analysis to challenge existing and new models and assumptions. Identify model issues and limitations and explain findings to key stakeholders. Provide thought leadership to complex business problems by guiding and challenging the modeling apparatus or status quo.
QUALIFICATIONS:
Minimum education and experience required: Master’s degree in Statistics, Operations Research, Mathematics, Finance, Financial Engineering, or related field of study plus 2 years of experience in the job offered or as Quantitative Modeling, Quantitative Analyst, Quantitative Research Analyst, Research Assistant, or related occupation.
Skills Required: Requires experience in the following: Mathematical Finance; Life-cycle Finance; Constrained Optimization in Economics; Numerical Methods; Data- intensive Analysis; Statistical Modeling; Coding in MATLAB or Python; and Advanced Quantitative Research in Finance. Experience and skills may be gained through graduate-level coursework.
Job Location: 8181 Communications Pkwy., Plano, TX 75024. Telecommuting permitted up to 40% of the week.