Consumer Credit Risk Model Development Manager

Location: On site listed in the job posting. 

SUMMARY

The Consumer Credit Risk Model Manager reports to the Director of Credit Risk Models and is responsible for the development, testing, implementation, monitoring, documentation, and maintenance of credit risk models in the Consumer portfolio. The models are used for a variety of activities, including: CECL, stress testing, loss forecasting, origination, portfolio management, and economic capital. First Horizon’s Consumer portfolio is weighted heavily toward real estate based loans (Mortgage and Home Equity).

The Consumer Credit Risk Model Manager leads a small team of credit model developers who source, clean, and transform data; research applicable methods; train and test a variety of specifications; document all facets of the development process; implement models and related logic in production systems; assess outputs across different levels of inputs (sensitivity analysis and scenario analysis); back-test and monitor models; and, communicate aspects of the model and its application to non-technical stakeholders.

The Consumer Credit Risk Model Manager will build and maintain relationships with partners and stakeholders across the bank, including Credit, Risk, Treasury, Finance, Technology, Audit, and Lines of Business. This role requires high interpersonal skills and the ability to communicate clearly and succinctly with executives, senior management, peers, analysts, regulators, and auditors.

The Consumer Credit Risk Model Manager is expected to work independently with minimal direction from management, lead projects, and manage a small team of analysts. A broad understanding of how models are used throughout the credit-related activities of a bank is a must.
 

ESSENTIAL DUTIES AND RESPONSIBILITIES

This position is primarily expected to:

• Lead a team that
• develops and applies mathematical or statistical theory and methods to collect, organize, interpret, and summarize numerical data sets from multiple sources (including internal consumer, mortgage, and commercial loan systems, external bank data (e.g., Call Reports), and economic forecasts) to develop credit risk models for CECL, stress testing, and other credit risk related initiatives.
• derives model assumptions that are well reasoned and supportable.
• implements models in code in a transparent and easily maintainable way.
• comprehensively and clearly documents all modeling or analysis work that meets internal, GAAP, and regulatory requirements; translates model theory and related results for non-quantitative audiences.
• develops and support strong controls for the model implementation framework and maintain related documentation.
• supports independent model validation process, internal and external audits, and regulatory reviews.
• Interact with model owner/users, validators, and regulators to address model issues and remediation actions.
• Interact with key stakeholder groups such as Accounting, Treasury, Credit, Model Risk Management, and Enterprise Technology in the design, development, and ongoing usage of models.
• Monitor the performance and calibration of existing models.

POSITION’S ADDITIONAL RESPONSIBILITIES:

• Collaborate with other Credit Model Managers to cross-train model developers and support projects or peak needs
• Coach junior model development staff
• Advise the Director of Credit Risk Models on new developments in the space, emerging technologies, increased efficiencies, or strategic direction

SUPERVISORY RESPONSIBILITIES

• The Credit Risk Model Development Manager will have a small team of less than 5 direct reports. The Manager will be responsible for ongoing and year-end performance reviews, promotion and merit recommendations, and other typical managerial activities
• The Credit Risk Model Development Manager will lead projects related his/her portfolio(s)

QUALIFICATIONS

To perform this job successfully, an individual must be able to perform each essential duty satisfactorily. Additionally, the qualifications listed below are representative of the knowledge, skills, and/or abilities required in this position:

PhD or Master’s degree in Statistics, Econometrics, Mathematics or related quantitative field. A Bachelor’s degree in a quantitative field with additional certifications or experience may be considered.
 

Minimum Experience:

• 8 years of model development or validation experience
• Must have advanced quantitative statistical modeling skills (Regression, Time-Series, Markov Chain, etc.)
• PhD or Master’s degree in Statistics, Econometrics, Mathematics or related quantitative field. . A Bachelor’s degree in a quantitative field with additional certifications or experience may be considered.
• Experience with Python and SQL.
• Strong analytical and critical thinking skills with high attention to detail and accuracy
• Excellent verbal, written, and interpersonal communication skills 
• Experience leading projects or mentoring team member, demonstrating the ability to guide, support and drive successful outcomes.

Preferred Experience:

• 10 or more years of model development or validation experience, particularly in credit risk or stress testing.
• Expert knowledge of Python and SQL and implementing models and data pipelines in a repeatable, reusable, and updatable way.
• Knowledge of SAS and R will help to support multiple legacy workflows and models.
• Knowledge of Git-based machine learning operations practices in the cloud (MLOps)
• Working knowledge of Generally Accepted Accounting Principles (GAAP), Basel III, Dodd-Frank Act Stress Testing, CCAR, and bank accounting/regulatory reporting requirements.
• Ability to clearly articulate, in writing or orally, ideas, analytic insights, and recommendations to both technical and non-technical audiences, including an executive audience.
• Ability to use advanced statistical and mathematical software to perform descriptive, predictive, and prescriptive analysis leveraging a variety of statistical techniques (such as segmentation, logistic regression, sensitivity analysis, and machine learning).
• An ability to identify key problems, conduct in-depth research, and articulate well-reasoned solutions.
• Supervisory experience responsible for direct reports

COMPUTER AND OFFICE EQUIPMENT SKILLS

• Knowledge of Python, R, SAS, or SQL
• Proficiency in the use of Microsoft Office with advanced experience in Excel
• Familiarity with software version control systems, such as Git
• Experience working with Databricks is a plus

CERTIFICATES, LICENSES, REGISTRATIONS (Ex: CPA, Series 6 or 7 license, etc)

None required

About Us
First Horizon is a leading regional financial services company, dedicated to helping our clients, communities and associates unlock their full potential with capital and counsel. With $81.7 billion in assets as of December 31, 2023, we serve clients through a team of approximately ~7,300 associates and ~418 banking centers throughout the southeastern United States. Headquartered in Memphis, TN, the banking subsidiary First Horizon Bank operates in 12 states across the southern U.S. First Horizon has been recognized as one of the nation’s best employers by Fortune and Forbes magazines and a Top 10 Most Reputable U.S. Bank.

Benefit Highlights
• Medical with wellness incentives, dental, and vision
• HSA with company match
• Maternity and parental leave
• Tuition reimbursement
• Mentor program
• 401(k) with 6% match
• More -- FirstHorizon.com/First-Horizon-National-Corporation/Careers/Our-Benefits

Corporate Diversity Commitment:
We remain committed to creating a more equitable society, and that starts with our associates, our clients, and the communities we serve. We do this by elevating equity, providing capital and counsel, and committing to excellence in everything we do.

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