Participate in development and execution of credit Economic Capital methodologies and Stress testing models for the Bank's lending portfolio. Support the development of sector/industry risk assessment methodologies and quantitative measurement techniques for credit risk exposures and structured products.
Primary responsibilities include:
- Analyze credit risk valuation models, correlations, concentrations, rating migrations, and risk contributions
- Work with business line partners in embedding and socializing these models and support them with on-going requests.
- Work with the quant team in the group to provide feedback on model development based on changes to portfolio both related to policy and performance
- Analyze portfolios both for commercial and retail to look at trends to support economic capital and stress test numbers
- Maintain large data sets using advance statistical/modeling tools and willing to pull datasets directly from source systems. Work with appropriate parties to resolve or remediate data quality issues.
- Maintain, review, and adhere to organization's credit policy; verifying the integrity of the underlying data; constant monitoring and validation of the underlying theories and methodologies
- Support implementation of third party vendor solution tools for credit risk
- Prepare ad-hoc risk quantification projects at the request of management
- Participate in peer review sessions and maintain awareness of new advances in credit risk modeling techniques to ensure the application of best practices to CFG credit risk models. Assure quality and leading-edge nature of work by helping to solve problems faced by others
- 5 years of experience in financial industry
- Strong understanding of commercial banking and lending products
- Prior experience in loss forecasting both in retail and wholesale portfolios
- Background and knowledge of the Basel rules and regulations
- Understanding of compliance and implications of Basel, FDIC, Federal Reserve regulatory frameworks as well as U.S. and International accounting standards
- Strong knowledge of statistical software packages; previous experience in data mining, demonstrated experience / expertise in problem solving
- Extensive understanding of relational databases and ability to effectively utilize statistical software SAS, Stata, and R
- Bachelor's Degree in Economics, Finance, Mathematics and Statistics
- Knowledge of vended tools such as KMV Portfolio Manager, Risk Frontier, Risk Metrics, BondStudio, QRM.
- Advanced programming knowledge in C, C++ or Excel VBA.
- Knowledge of Matlab, Splus and relational databases.
- Masters or PhD degree preferred.
- Education, Certifications and/or Other Professional Credentials
Ideally this position will be located in our Boston, Mass. office. Relocationassistance for this roleis provided.
Hours and Work Schedule
Hours per Week: 40
Work Schedule: Monday-Friday 8:00AM-5:00PM
Equal Employment Opportunity
It is the policy of RBS Citizens, N.A. to provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to race, color, ethnicity, religion, gender, pregnancy/childbirth, age, national origin, sexual orientation, gender identity or expression, disability or perceived disability, genetic information, citizenship, veteran or military status, marital or domestic partner status, or any othercategory protected by federal, state and/or local laws.
Equal Opportunity Employer Minority/Women/Disabled/Veteran