A Financial Firm in the Tampa area is looking for an experienced Quantitative Wholesale Credit Risk Manager with 5+ years of experience who can review the firm’s Current Expected Credit Loss Models (CECL) PD and LGD Models for corporate and retail portfolios (C&I, CRE, Residential Mortgage and Structured Lending).
- Perform model validation and review wholesale credit risk models
- Develop Model Validation Plans and reports under the SR11-17 model risk management guidelines
- Perform CECL modeling with TTC and PIT analysis
- Create and replicate benchmark models to challenge and validate existing model calculations and assumptions
- Work closely with model owners on documentation, inputs, assumptions, design, analytics, governance and controls
- Act as a subject matter expert on CECL and market risk management regulatory requirements
- Must have advanced quantitative degree (Masters)
- Must have 5+ years’ experience in wholesale credit risk and CECL model validation
- Must be familiar with the Fed’s SR 11-07 Model Risk Governance requirements
- Must have PD/LGD modeling and validation as well as TTC/PIT perspectives
- Must have SAS, R or Python statistical programming skills )(strong preference for SAS) for replication and benchmarking
The firm is offering an attractive compensation and relocation package for the right candidate who is looking to leverage his experience with a top firm in Tampa Florida.
Keywords: Credit Risk Models, CECL, PD, LGD, SAS, Validation, Benchmark, Replication, Model Risk Management, Model Governance, SR 11-07, Statistical Modeler, Model Risk Manager, Fixed Income Derivatives, Structured Mortgages
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