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Senior Quantitative Modeling Manager
Banco Santander
Florham Park, NJ, United States
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Description
Risk is present in all of Santander’s activities and effective Risk Management is a critical component of the Bank’s success. Through application of the Bank’s Risk Framework and the continuous identification and assessment of risk, Santander seeks to ensure that all of our businesses operate inside of clearly established limits, are able to proactively quantify exposures, and take corrective action when required. As a member of the Risk Management division, you’ll be part of a diverse team of talented professionals who interact with senior risk team personnel, business managers and other Bank disciplines in order to understand business operations and dynamics, and analyze, monitor, and manage related risks
Responsibilities:
• As part of a team you will be responsible for developing, delivering, signing-off and supporting advanced, regulatory-compliant credit models, (e.g., Probability of Default (PD) and Ratings, Loss Given Default (LGD), Exposure at Default (EAD)) and BAU scorecard/ risk rating models.
• From a broader viewpoint the role function and its related responsibilities are key to support the banks management as well as the regulatory capital/provisions requirements
• Act as an expert resource in the fields of credit risk quantification and modeling, working closely with other stakeholders both internal and external such as business and risk areas, and regulatory authorities
• Manage, develop and mentor a team of highly specialized quantitative analysts in the risk rating field
• Articulate the team’s overall development and conceptual evolution of risk rating modeling expertise from and internally based approach.
• Work within the Risk Methodology Group, to produce all required deliverables to a high standard
• Work with the dedicated credit risk systems implementation team to support the roll-out of tactical and strategic implementations of the various credit models and methodologies
• Contribute to model and methodology-related presentations to model committees, credit officers, and model users as well as to regulators
Qualifications:
• Masters or Ph.D. degree in Economics, Statistics, Analytics Engineering, Computer Science, Mathematics, Finance or other related quantitative field preferred.
• Proficiency in statistical packages like SAS, MATLAB, R, Python etc.
• 4 to 5 years of experience in a credit risk quantitative development role
• Good working knowledge of Basel II-like concepts and broad understanding of Model Risk Management regulatory requirements
• Knowledge of key industry default and loss data from rating Agencies and other vendors
• Expert in developing linear / logistic / econometric regression models
• Business Intelligence tools like Tableau, QlikView is a plus
• Can-do and creative attitude with Proactive mindset
• Strong time management skills
• Excellent written and verbal communication with a focus on detailed and clear technical writing