Overview
This position is responsible for the development and management of statistically derived credit risk modeling used for loan or deposit originations, account management, collections, loan loss forecasting, capital plans, and stress testing. The role manages statistical model development and implementation independently and in collaboration with stakeholders across the credit union.
Responsibilities
- Develop, re-develop, and calibrate statistical models using statistical analytical packages, including (but not limited to):
- Probability of Default (PD)
- Loss Given Default (LGD)
- Exposure at Default (EAD)
- Apply models for credit decision scorecards, loss forecasting, reserving, and economic capital use cases
- Support documentation and execution of statistical models under the direction of senior peers and leadership
- Research and apply enhancements to improve the accuracy of an existing suite of models, including:
- PD, LGD, EAD, and loan loss forecast models
- Collaborate with business partners and product management to interpret model results and assess the appropriateness of statistical methods and models for business questions and generating actionable insights
- Participate in annual model reviews and performance testing
- Manage the data request and systems testing process by gathering and evaluating data for reliability and usability, and researching and applying data treatment methods
- Work with senior team members across the full advanced credit risk models development life cycle
- Participate in team meetings related to statistical model development
- Deliver regular reports of modeling results, including impacts of originations, servicing, collections, loss mitigation, and asset liquidation strategies and performance
- Maintain thorough knowledge of loan portfolio trends and composition while analyzing and presenting model outputs
- Use data warehouse information and model results to support credit risk management strategies
- Identify opportunities for efficiency and effectiveness, including reporting requirements
- Develop and maintain statistical modeling documentation and change control documentation
- Perform other duties as assigned
Qualifications
- Master’s degree (or foreign equivalent) in a quantitative discipline such as statistics, math, finance, or economics required
- Coursework in statistics at either the bachelor’s, master’s or PhD level required
- Minimum 3 years of functional experience in statistical modeling required, including credit risk modeling experience in one or more of the following product areas:
- Real estate secured loan products (mortgage, home equity)
- Auto
- Credit card
- Commercial loan products
- Sound knowledge of statistical modeling concepts, including logistic regression, survival analysis, Markov chain analysis, and time series methodologies, with experience developing and validating PD, EAD, and LGD models required
- Knowledge of artificial intelligence (AI) and machine learning (ML) tools required
- Knowledge of three or more of the following statistical analytical packages required: SAS, Python, SQL and R
- Ability to interact with management officials at all levels, as well as other risk and model management personnel throughout the credit union required
- Ability to analyze and reconcile large volume of data so it can be summarized and used for management decisions required
- Excellent analytical and problem-solving skills required
Preferred Qualifications
- Experience with statistical modeling for capital planning and stress testing
- Experience with Comprehensive Capital Analysis Review (CCAR), Dodd-Frank Act Stress Testing (DFAST) and Basel Regulatory Capital Framework
- Experience with modeling techniques including logistic regression, multivariate analysis, and Monte Carlo
- Experience communicating complex statistical insights and implications to credit union strategy and value creation (verbal and written)
Compensation & Benefits
Pay Range
- Target Pay Range: $128,900.00–$157,500.00 annually
- Full Pay Range: $99,900.00–$186,400.00 annually
- Compensation decisions are based on factors such as relevant job-related skills, experience, and education or training, and will consider individual qualifications if an offer is made.
- In addition to salary, compensation incentives are available for the hired applicant. Incentives are performance based and targets vary by role.
Benefits
- 401(k) Company Match (up to 3%)
- 4% annual contribution to your 401(k)
- Medical, Dental and Vision (family contributions as well)
- PTO Program + Exchange Program
- Tuition Reimbursement Program
- Volunteer time off + donation match
Equal Employment Opportunity
This employer is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, national origin, veteran status, disability, sexual orientation, gender identity, or any other protected status.