BASIC FUNCTION:
Quantification and analysis of consumer credit risk using data-driven statistical methodology.
Interpret findings and present to senior management.
Identify solutions to optimize risk/return equation
RESPONSIBILITIES:
Conduct analyses of origination, financial, demographic, behavioral, market, and economic data. Interpret results, present findings and recommendations to senior management
Create credit risk models for the prediction and forecasting of expected loss within the Consumer portfolios. Create Basel II compliant models for the Profitability of Default (PD), Loss Given Default (LGD) and Loan Equivalency (LEQ).
Determine optimum origination strategies based on profit, expected loss, elasticity of demand, fixed and variable costs and capital requirements
Define, develop and implement strategies for underwriting to include policies for automated decision of credit requests
Partner with the business to identify opportunities for process efficiency gains through the use of empirically based decision strategies for credit and marketing activities. Ability to develop ad hoc processes to address efficiency gains, and translate into repeatable procedures
Interface with a wide range of end-client personnel to explain the benefits, limitations, assumptions, requirements for proposed scorecards, solutions and strategies
Documentation and validation of results and processes
Significant interaction with Senior Management, Consumer Product Management, external consultants, vendors, and peer banks
BASIC QUALIFICATIONS:
Bachelor’s degree in Quantitative Finance, Econometrics, Statistics, Mathematics, or other related discipline required. Equivalent experience in risk quantitative position will be considered
Minimum five years experience in quantitative analysis, preferably in the financial services industry with an emphasis in the area of risk management
Demonstrated technical ability to obtain information from disparate sources, including production and ad hoc systems, linking and analyzing the information, performing data integrity checks and exploratory data analysis
Five years experience preparing written documentation and/or papers/publications
Technical experience in Mainframe and/or PC environments. Ability to apply technical skills to solve business process problems
Three years experience with SAS or other modeling or statistical software
IDEAL QUALIFICATIONS:
Master’s degree in Quantitative Finance, Econometrics, Statistics, mathematics, or other related discipline
Five years experience with SAS or other modeling or statistical software
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