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Quantitative Analyst / Risk Modeler
Western Alliance Bancorporation
Phoenix, AZ, United States
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The commercial risk modeler will have experience and knowledge of credit loss modeling for commercial or consumer portfolios such as default models, transition models, loss-give-default models, and familiarity with various vendor models. This position will work with a senior modeler to develop the next generation of the Bank’s stress test loss forecasting models. In this role, you will contribute to the success of WAL stress testing initiatives.
Responsibilities
• Contribute to multiple model development projects for C&I and CRE portfolios
• Work with other quantitative analysts in model development
• Participate in data analytics, statistical model development, statistical testing, requirement documentation, and implementation testing of multiple, complex models
• Partner with portfolio risk managers and business lines to develop and implement stress testing strategies
• Communicate modeling concepts and model assumptions with regulators, auditors, and independent model validation teams
• Complete required Model Risk Governance and Tool Risk Governance review procedures within or ahead of expected timelines
• Perform gap analyses to stress testing related rules, bulletins, and guidance
• Monitor and improve quality and ensures 'best practice' modeling development techniques
Qualifications
• Master’s Degree in Statistics, Economics, Finance, or related quantitative field (PhD preferred)
• 3-5 years of experience responsible for major tasks, deliverables, formal methodologies and disciplines for credit risk modeling at a financial institution regulated by the OCC or Federal Reserve
• At least 3 years of advanced statistical modeling experience
• Experience with accounting rules related to charge-offs, recoveries, and non-accrual accounting
• Experience with Allowance for Credit Loss accounting rules and regulations
• Statistical model development methodologies
• Statistical model implementation
• Familiarity with stress testing concepts and related regulatory guidance (such as the Fed Letter SR11-7)
Preferred Skills/Experience
• Data Analysis with large complex data sets and data warehouses
• Statistical model development and testing
• Business analysis and requirements documentation
• Programming in SAS, R, or Stata
• Knowledge of Commercial & Industrial credit risk modeling
• Experience in model development for CRE and C&I