Manager Risk Analytics, Modeling

    • Chicago, IL

Your Opportunity The role is situated in the Credit Risk and Stress Testing team within the Financial Risk Management group. The position will support Stress Testing activities that cover all aspects of macroeconomic scenario design for Capital Stress Testing and also focuses on analytics/modeling, tactical execution and strategic continuous improvements of activities related to macroeconomic modeling. This role would also provide meaningful contributions to second-line effective challenge and stress testing activities and develop effective partnership with teams across Corporate Risk Management and Finance Enterprises. This is an Individual Contributor role with no direct reports reporting to the Managing Director, Market Risk Management.

What you are good at
Key responsibilities will include, but not be limited to:

  • Develop and implement macroeconomic scenario development models using various statistical techniques (regressions, Vector Autoregressive, DSGE, etc.).
  • Support the development, implementation and deployment of challenger models using machine learning techniques.
  • Develop scripts/code to enhance the data science pipeline and automate data feeds, reporting tasks, and model performance monitoring reports.
  • Support the creation of presentations that may be utilized by the model oversight committees and present the results to Senior Management.
  • Identify and assist development of possible enhancements to key processes and systems related to macroeconomic and credit loss modeling.
  • D ocument and communicate model results and methodologies to external and internal stakeholders, in clear and concise fashion, both verbally and in written form.

What you have
  • Minimum of 4 years of full-time work experience working in financial engineering, applied and computational mathematics, physics, or similar scientific fields.
  • Either a MSc in a quantitative discipline that requires heavy uses of statistical techniques and/or computational mathematics, such as statistics, economics (with focus on applied econometrics), finance (with a focus on financial econometrics), financial engineering, applied and computational mathematics, physics, or similar scientific fields.
  • Bachelor of Science in a quantitative discipline as mentioned above with 3+ years of professional exper ience with emphasis on statistical analysis and modeling.
  • Expertise conducting statistical analysis using software such as R, SAS or Eviews.
  • Expert knowledge of time series modeling and macroeconomic concepts.
  • Expert knowledge of data extraction, cleaning and transformation in order to organize data from database servers such as SQL server, Teradata, etc.
  • Excellent interpersonal skills with ability to translate statistical and mathematical concepts into easily understood language.
  • Ambitious, able to multi-task and work under strict deadlines

The following qualifications are preferred:
  • PhD preferred.
  • Experience using R and R Markdown statistical package.
  • Experience using SQL.
statistical inference

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