Quantitative Analyst
U.S. Bank is seeking a quantitative analyst for modeling Basel III Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) credit risk models for the Bank's loan and lease portfolios. The analyst will have experience and knowledge of credit loss modeling for commercial or retail portfolios. In this role, you will contribute to the success of U.S. Bank's Basel III Advanced Credit Risk Capital initiatives.
The incumbent will be part of the team of econometricians responsible for the development of Basel III Advanced Internal Ratings Based models for the Bank's commercial and retail portfolios. Responsibilities include analyzing data for use in modeling as well as developing, validating, documenting, and implementing Basel III PD, LGD, and EAD models for the Bank's commercial and retail portfolios. The analyst is also responsible for ensuring models are consistent with the Bank's risk management policies, procedures and practices by interfacing with staff in portfolio risk management, management reporting, external reporting, model validation and audit teams. In addition, the analyst will communicate statistical models to stakeholders within and outside the Bank. Key deliverables include written reports, oral and written presentations, and written and commented code.
Your Career is Here.
Basic Qualifications
Bachelor or advanced degree with at least 2 years relevant experience building, documenting or validating Basel III A-IRB regulatory credit risk capital models at a financial institution, consulting firm, or related regulatory agency (e.g. Office of Comptroller of Currency, Federal Reserve)
Degree in a quantitative discipline (e.g. Economics, Finance, Mathematics, Statistics)
Experience working with large datasets and building or validating advanced statistical models (including regression and classification models)
Programming experience in SAS (Base, STAT, and/or Enterprise Guide)
Experience with MS Word, Excel, and Powerpoint
Ability to build strong relationships with a wide range of individuals from risk, finance, model validation, technology, and regulators
Strong analytical and problem solving skills, coupled with thoroughness and attention to detail
Strong oral and written communication skills
Ability to work independently and proactively take the initiative to address issues in a timely manner
Preferred Skills/Experience
Working knowledge of VBA, C/C , SQL, SPSS, S-Plus, R is a plus
Experience applying Basel A-IRB regulatory capital rules
Experience underwriting or managing commercial or retail loans
Experience working with financial institution model validation staff
Experience working with financial institution regulatory agencies
Experience interpreting and applying complex financial regulations
. Apply now!Estimated Salary: $20 to $28 per hour based on qualifications.
The incumbent will be part of the team of econometricians responsible for the development of Basel III Advanced Internal Ratings Based models for the Bank's commercial and retail portfolios. Responsibilities include analyzing data for use in modeling as well as developing, validating, documenting, and implementing Basel III PD, LGD, and EAD models for the Bank's commercial and retail portfolios. The analyst is also responsible for ensuring models are consistent with the Bank's risk management policies, procedures and practices by interfacing with staff in portfolio risk management, management reporting, external reporting, model validation and audit teams. In addition, the analyst will communicate statistical models to stakeholders within and outside the Bank. Key deliverables include written reports, oral and written presentations, and written and commented code.
Your Career is Here.
Basic Qualifications
Bachelor or advanced degree with at least 2 years relevant experience building, documenting or validating Basel III A-IRB regulatory credit risk capital models at a financial institution, consulting firm, or related regulatory agency (e.g. Office of Comptroller of Currency, Federal Reserve)
Degree in a quantitative discipline (e.g. Economics, Finance, Mathematics, Statistics)
Experience working with large datasets and building or validating advanced statistical models (including regression and classification models)
Programming experience in SAS (Base, STAT, and/or Enterprise Guide)
Experience with MS Word, Excel, and Powerpoint
Ability to build strong relationships with a wide range of individuals from risk, finance, model validation, technology, and regulators
Strong analytical and problem solving skills, coupled with thoroughness and attention to detail
Strong oral and written communication skills
Ability to work independently and proactively take the initiative to address issues in a timely manner
Preferred Skills/Experience
Working knowledge of VBA, C/C , SQL, SPSS, S-Plus, R is a plus
Experience applying Basel A-IRB regulatory capital rules
Experience underwriting or managing commercial or retail loans
Experience working with financial institution model validation staff
Experience working with financial institution regulatory agencies
Experience interpreting and applying complex financial regulations
. Apply now!Estimated Salary: $20 to $28 per hour based on qualifications.
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