Model Developer ACL (Allowance for Credit Losses)

Job Description

The Credit Capital, Allowance, and Stress Testing Team (CCAST) is a unit within Corporate Credit and Market Risk and is responsible for (i) oversight, modeling and estimation of risk weighted assets (RWA) in compliance with BASEL regulations, (ii) consolidation coordination, documentation and oversight of the Allowance for Credit Losses (ACL) and related external disclosures; (iii) coordination, oversight documentation modeling, and submission for the credit section of the Corporate Stress Testing exercises in compliance with Dodd Frank and the Comprehensive Capital Analysis and Reporting exercises (CCAR).

This opportunity is for a Quantitative Analytics Cons/Model Developer – ACL. The primary responsibility of the individual will be to undertake development projects and perform analysis on Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models for the Portfolio Modeling group using SAS and SQL.

The individual will be responsible for developing and advancing models and methodologies for assessing portfolio-level risk in Wells Fargo Bank’s commercial credit portfolios. He/She will provide expertise in statistical modeling and analytical approaches, as well as translate an understanding of the bank’s underlying data and commercial credit products into risk solutions. The chosen candidate will be responsible for working with a team of on-shore partners and off-shore resources to collect, organize, interpret, and summarize data to assess and develop risk-management solutions.

Project efforts will focus on supporting Wells Fargo Bank’s commercial allowance modeling and reserve processes to meet internal and external development requirements on PD, LGD, and EAD estimates, as well as other portfolio analytics. Duties include the development of model documentation, memos, and analysis decks, along with the presentation of findings to multiple audiences, including senior management, model validators, auditors, and external regulators. Due to the high-profile and detailed nature of the role the candidate must possess strong written and oral communication skills.

The position requires research capabilities to review existing work concerning the application of new and existing techniques to commercial PD, LGD, and EAD analytics, identify their suitability to Wells Fargo’s commercial portfolio, and develop and implement appropriate assessment methods (monitoring, back-testing, benchmarking, etc.). The individual will also undertake various independent projects on special portfolio sectors (oil and gas, foreign, etc.), model monitoring indicators, the use of specialized data sets, as well as their impact on the bank’s commercial portfolio reserves. Some familiarity with the commercial allowance process would be helpful.

The individual will have the responsibility of performing ad-hoc analyses as the need arises, as well as the ability to manage and hand off specific tasks to offshore resources for further analytic support. Responsibilities also include the development, maintenance, and use of large commercial portfolio data sets, the creation of SQL/SAS modules to extract and modify the data, as well as the application of parameter estimation methodologies.

This is a highly visible position, with exposure to a wide audience. This is an opportunity to be part of a constantly growing team in an ever changing industry.

Required Qualifications

  • 2+ years of experience in an advanced scientific or mathematical field
  • A master’s degree or higher in a quantitative field such as mathematics, statistics, engineering, physics, economics, or computer science

Desired Qualifications

  • Excellent verbal, written, and interpersonal communication skills
  • Advanced Microsoft Excel skills

Other Desired Qualifications

  • Highly prefer 3 or more years of experience in building statistical models and performing statistical analyses, including linear regression, logistic regression, and survival/hazard models
  • Ideally three or more years of experience in credit-related analysis
  • Experience with writing detailed model documentation and/or analysis narratives that are both logically written and grammatically correct
  • PhD preferred
  • SAS and SQL programming skills, including SAS EG.
  • An understanding of commercial credit and the risk assessment processes for medium and large companies.
  • Experience in giving presentations both to live audiences and through online meetings.
  • A working understanding of relational databases and how to extract, store, and process data on an UNIX platform.
  • Some knowledge of commercial allowance procedures and FASB guidance
  • Demonstrated capabilities to develop both Word and PowerPoint documents to present the results of quantitative analysis.

Disclaimer

All offers for employment with Wells Fargo are contingent upon the candidate having successfully completed a criminal background check. Wells Fargo will consider qualified candidates with criminal histories in a manner consistent with the requirements of applicable local, state and Federal law, including Section 19 of the Federal Deposit Insurance Act.

Relevant military experience is considered for veterans and transitioning service men and women.

Wells Fargo is an Affirmative Action and Equal Opportunity Employer, Minority/Female/Disabled/Veteran/Gender Identity/Sexual Orientation.

0211759 CORP RISK/CORPORATE RISK


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