Quantitative Credit Risk Manager
This position is responsible for the development and implementation of quantitative models related to credit risk in commercial and industrial loans (C&I), commercial real estate (CRE) and consumer portfolios. Develops and maintains the internal probability of default and loss given default databases and will integrate external data relevant to the Bank's loan portfolio. This position works with IT and Credit Administration to improve data quality for regulatory and modeling purposes. It will code and maintain an engine combining multiple credit models to produce estimates of Current Expected Credit Losses (CECL) to comply with corresponding accounting standard.
This position assists in the quantification and analysis of credit risk using data driven statistical methodologies, interpreting findings, identifying solutions to optimize risk/return equation and developing presentations to senior management.
This position requires experience in developing/validating risk rating models, stress testing models and implementation of models in computational environment.
- Develop and maintain rating history for the commercial portfolio and ensuring its accuracy.
- Maintain and update internal loss given default (LGD) database, help with internal data validation.
- Design and maintain database of loss estimates, parameters, scenarios and other relevant inputs and outputs of CECL estimation process.
- Develop and Backtest credit risk models.
- Implementation of credit models in chosen platform.
- Develop models linking the loan performance to macroeconomic scenarios.
- Design and perform calculations to determine the level of qualitative loan loss reserves.
- Keep abreast of industry best practice standards for credit risk measurement and stress testing.
- Assist in benchmarking Stress Test losses to other institutions (CCAR and SCAP).
- Assist in developing and maintaining economic capital for loan pricing models.
- Support ad-hoc Line of business requests for quantitative modeling.
- Bachelor's degree
- 3 years of experience in a risk quantitative position required.
- Minimum 3 years technical experience obtaining information from disparate sources, including production. and ad hoc systems, linking and analyzing the information, performing data integrity checks and exploratory data analysis required.
- Minimum 3 years of experience with modeling software required, Stata, R, Matlab, Sas, VBA.
Skills and Knowledge:
- Advanced degree in statistics/finance/economics or other quantitative field or equivalent experience.
- Experience in statistical/econometric modeling and database management.
- Database experience, SQL and Business Objects.
- Coding experience using R, Python, Stata, VBA, Matlab or other similar environment.
- Familiarity with general lending products (specifically for commercial lending).
- Three years of experience in quantitative analysis, preferably in the financial services industry with an emphasis in the area of risk management.
- Background and practical experience in statistical or econometric modeling, model validation, DFAST, Basel II, economic capital and stress testing methodologies.
- Experience in macroeconomic forecasting, credit risk forecasting and incorporating macroeconomic variables in credit risk models.
- Ability to build strong relationships with peers, line of business managers and colleagues across the Bank.
*Represents basic qualifications for the position. To be considered for this position you must at least meet the basic qualifications.
Equal Opportunity/Affirmative Action Employer, Minorities/Females/Individuals with Disabilities/Veterans
Note: This preceding job description has been designed to indicate the general nature and level of work performed by employees within this classification. It is not designed to contain or be interpreted as a comprehensive inventory of all duties, responsibilities, and qualifications required of employees assigned to this job.
Note: Candidates should be advised that City National Bank does not pay interviewee travel expenses or relocation expenses for candidates who are hired unless previously agreed.
Equal Opportunity Employer Minorities/Women/Protected Veterans/Disabled
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