Modeling - Risk Modeler II - P2

Description

Position Summary

Responsible for analytics and modeling pertaining to CECL. Work at the nexus of Risk Management and Treasury and Finance estimate and deliver Current Expected Credit Loss to end users.

Summary of Essential Job Functions

• Participate in the monthly reporting of CECL including pulling of loan data, execution of code estimating expected credit loss, aggregation of results from multiple sources, execution and application of qualitative management adjustments, and reconciliation or results.
• Back testing of historical CECL and expected credit loss results to estimate the accuracy of the current model and the development of qualitative management adjustments to account for defined inaccuracies.
• Acquisition and deployment of macroeconomic data testing for relevancy and accuracy of the forecasts including analysis of trends, variances, and scenario analysis.
• Refinement of current and development of new quantitative model used for expected credit loss forecasting including refinement and development of components such as PD, LGD, EAD. Develop and refine model code to improve expected credit loss estimates, runtime, and resource utilization. Participate in the development of a new CECL model and/or the refitting of the current CECL model for future use by the Bank.
• Conduct analysis, including segmentation analysis, of loan portfolio and expected credit loss results producing metrics relevant to the performance of the portfolio and the Bank.
• Production of tables, figures, and PowerPoint presentations illustrating the portfolio performance and expected credit loss history for an executive audience.
• Conduct model monitoring of the current CECL model and defend the monitoring to the model governance team.
• Prepare documentation describing the development, conceptual soundness, and accuracy of qualitative management adjustments, new model developments, as well as policies and procedures, and submit the documentation to model validation for review. Defend the submissions to model validation.
• Participate in financial risk management, advisory, and audit engagement assistance related to expected credit loss implementation.

Position Requirements

• Minimum Bachelor's degree in mathematics, statistics, economics, data science, financial engineering or another quantitative field.
• Understanding of risk management and predictive modeling. Experience with cloud computing a plus.
• Experience in or understanding of credit card financing business model in consumer lending business segment desirable.
• Programming experience required. Familiarity with SAS/SQL, R or Python preferred.
• Experience in business analysis, quantitative analytics, and data science
• Working knowledge of analytical techniques including regression analysis and predictive analytics
• Organizational and prioritization skills to manage multiple, competing priorities
• Experience building and delivering presentations to diverse audiences.
• Strong analytical skills and creativity.
• Ability to work independently and to adapt to new situations.
• Excellent communication skills both written and verbal.
• Ability to innovate and find creative solutions to meeting business goals.

Preferred:

• Direct experience developing and implementing CECL or loss forecasting models preferred
• Master's degree or Advanced quantitative degree from an accredited college/university preferred
• Experience in consumer credit card industry preferred

Credit One Bank, N.A. is a data-driven financial services company based in Las Vegas. Founded in 1984, Credit One Bank offers a spectrum of credit card products for people in all stages of financial life. Credit One Bank is an equal opportunity employer committed to diversity and inclusion and does not discriminate against any employee or applicant for employment because of age, race, religion, color, disability, sex, sexual orientation, or national origin. Reasonable accommodations can be made for those who require them, including access to job applications and workplace accommodations. Employment at Credit One Bank is based on mutual consent (also known as at-will). This means that employees and the Bank may terminate the employment relationship at any time, with or without cause and with or without notice. Please contact the recruiter for this position to learn more. Credit One Bank does not accept unsolicited resumes from agencies and is not responsible for related fees.