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Duties: Validate, justify and calibrate credit risk models from both statistical and business perspectives. Collaborate with modeling team and IT team to validate model implementation, leverage model to business challenges and streamline processes. Provide analytical support to CCAR team by collecting, interpreting and summarizing mortgage data and model outputs. Develop and apply understanding of various macroeconomic variables and impact on forecast including but not limited to HPI and UER. Perform analysis and reporting associated with all aspects of model forecast including internal and external drivers of delinquency and losses. Provide senior management with key mortgage portfolio risk analysis and financial reporting. Interact with business and finance team, technical resources and modeling development. Perform analytical and quantitative analysis to identify credit risk issues impacting the portfolio. Identify and segment key risk drivers of the portfolio. Assess the impact of external economic variables on credit performance and credit quality mix of portfolio. Produce reports summarizing portfolio credit performance. Identify adverse credit quality trends across origination vintages and profiling different segments of the portfolio. Prepare comprehensive overviews of portfolio performance. Effectively communicate results from empirical analysis to senior management.
Minimum education required: Master’s degree or equivalent in Finance, Statistics, Economics, Mathematics, Engineering (any), or related field.
Minimum experience required: 2 years of experience performing statistical analysis using regression models; report development and report automation; and processing and manipulating large datasets using SQL and SAS, or related experience.
Alternate minimum education and experience required: Bachelor’s degree or equivalent in Finance, Statistics, Economics, Mathematics, Engineering (any), or related field, and 5 years of experience performing statistical analysis using regression models; report development and report automation; and processing and manipulating large datasets using SQL and SAS, or related experience.
Skills required: Must have demonstrated knowledge of advanced SAS programming including data manipulation, SAS statistical functions, and SAS macros. Experience with data mining techniques, big data analytics and data visualization for portfolio analysis. Demonstrated knowledge of financial and accounting statements, and drivers of profitability. Experience in Excel including pivot table manipulation and demonstrated knowledge of statistical and financial functions. Employer will accept any amount of professional experience with the required skills.
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