Quantitative Credit Risk Modeling

Tittle: Quantitative Credit Risk Management Analyst

Location - New Jersey, New York / Hybrid 3 days

Duration: - 12 Months

Senior Credit Risk Management Analyst

Position Summary

Reporting to the Credit Risk Analytics Manager (CRAM), the Senior Credit Risk Management Analyst will be primarily responsible for:

1. Preparing the Bank s Allowance for Credit Losses (ACL) in accordance with the Current Expected Credit Loss (CECL) standard and managing the Bank s Commercial Real Estate Stress Test.
2. Developing ad-hoc credit analytics and reports.
3. Supporting various initiatives and projects led by the Credit Risk Department.

Key Responsibilities

CECL:

• Conduct monthly CECL calculations and generate necessary analyses and reports.
• Monitor CECL models, including input sensitivities and back-testing.
• Perform annual reviews and recalibrations of qualitative factors and update qualitative factor frameworks as necessary.
• Provide analytical support to CRAM and third-party CECL model developers for model redevelopment and documentation.
• Assist CRAM with model validation and scoping bottom-up models from diverse datasets for key portfolios, such as CRE, MF, and C&I.

CRE and Construction Stress Test:

• Execute periodic and ad-hoc CRE stress tests and related tasks, including data quality checks.
• Support the development of economic scenarios and refinement of model inputs and assumptions.
• Conduct detailed analyses and stress tests specific to property types.
• Aid CRAM in creating the Construction Stress Test Program, including due diligence on third-party developers and data scoping.

Dual Risk Rating Scorecards:

• Evaluate methodologies and provide support for calibrating Moody s scorecards.

Capital Stress Testing:

• Contribute to the Bank s Capital Stress Test Program, including vendor and platform evaluations and methodology reviews.

Additional Responsibilities:

• Process Improvement:

o Identify and implement process improvements using technology, including computer programming.

o Understand and analyze CECL and stress testing models to unify bottom-up models.

• Benchmarking activities related to CECL.
• Assist CRAM with identifying, testing, and implementing advanced technology, data, and modeling solutions for CECL, stress testing, and credit and data analytics (e.g., Dataiku).
• Support CRAM in scoping and developing stress tests for other commercial portfolios, including C&I.
• Perform other duties as assigned.

Skills and Qualifications:

• Ability to influence positive outcomes across various business areas.
• Solutions-oriented, confident, ethical, and highly motivated.
• Adaptable and capable of thriving in a fast-paced environment.
• Strong skills in analytics, quantitative analysis, critical thinking, problem-solving, communication, and time management.
• Proven ability to work independently and build productive relationships.
• Excellent analytical writing skills.
• Experience with Abrigo, Trepp, and Moody s platforms is preferred.
• Familiarity with SR11-7, OCC, FRB, and other relevant banking regulations is preferred.
• Knowledge of programming languages such as Python is preferred.
• Advanced Excel skills, including Macro/VBA programming.

Education:

• Advanced degree in finance and/or statistics is preferred.

Experience:

• Minimum of 3 years in CRE and/or C&I underwriting required.
• At least 2 years of experience with credit risk models and allowance reserve models preferred.
• Banking experience in credit risk and portfolio risk management is required.

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