Citizens Bank

Position Title/Short Description

Full Text of JOE Listing:

We are looking for an experienced quantitative analysts that will participate in the design, development, testing and execution of various models that cover credit risk parameters such as probability of default (PD), loss given default (LGD), ALLL (including CECL) and Loss Forecasting (CCAR) for Bank’s commercial/consumer lending portfolio.

Primary responsibilities include:
• Develop statistical/econometric credit risk models, including default prediction, recovery, and valuation models, looking at correlations, concentrations, rating migrations, and risk contributions.
• Collaborate with business line partners and risk managers to socialize these models and support them with on-going requests.
• Work with the independent model validation team to get models approved after development work is complete
• Analyze portfolio trends in support of strategies and applications
• Support the implementation of the developed models.
• Prepare ad-hoc risk quantification projects at the request of management

Required Skills
• At least 5 years of experience in academic setting. Experience in a lending and credit capacity would be a plus.
• Extensive understanding of relational databases and ability to effectively utilize statistical software such as SAS, Stata, and R.
• PhD or Master’s degree in Economics/ Statistics/ Finance/ Physics/ Mathematics preferred