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Data Scientist

Selby Jennings Strategy
Boston, United States
Posted 1 day ago Hybrid Permanent USD130000 - USD140000 per year
I am working with a client looking for a Data Scientist to validate credit risk models for Wholesale PD/LGD parameters, loss forecasting for CECL & CCAR, and Fraud. Candidates should have 3+ years of relevant experience along with advanced knowledge of SAS/SQL/R/Python.

I am working with a client looking for a Data Scientist to validate credit risk models for Wholesale PD/LGD parameters, loss forecasting for CECL & CCAR, and Fraud. Candidates should have 3+ years of relevant experience along with advanced knowledge of SAS/SQL/R/Python.

Responsibilities:

  • Perform independent review and model validation of wholesale credit risk and compliance risk models including PPNR, PD, LGD, Loss forecasting, AML, Fair Lending, Fraud models
  • Write validation reports containing/explaining the analyses performed and their results
  • Present the reports and findings to various review / approval committees and to other modeling teams
  • Develop creative approaches to communicate complicated concepts, essence of the tests, results of the model validation exercise and analyses performed to effectively communicate the findings to audiences not necessarily quantitative or expert in the domain
  • Participate in peer brainstorm review sessions and help other MRM&V members to solve the problems they are facing
  • Review the work of more junior staff members and contribute to MRM&V's knowledge pool
  • Represent Model Risk management team in the interactions with regulatory agencies

Qualifications:

  • Masters or Ph.D. degree in finance, economics/econometrics, statistics or other quantitative fields (physics, computer science, mathematics, etc.)
  • Familiar with essential quantities techniques used in financial models
  • Quantitative programming skill (e.g. Python, R, SAS/SQL etc)
  • Prior experience with developing or validating models such as stress testing, prepayment or deposit models will be a plus
  • Prior experience in delivering both written and verbal communications to a senior management audience and developing constructive relationships with a wide range of different stakeholders
  • Very good communication skills (both verbal and written) as well as solid project management skills and ability to multitask
  • Good business knowledge and familiarity with consumer/small business/commercial banking products, operation and credit processes
  • At least 3 years experiences in model development or validation
job_description_image
Job ID  PR/368758
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