Quantitative Analyst - Credit Risk(ECAP)
Location: Cincinnati
Posted on: January 14, 2021
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Job Description:
GENERAL FUNCTION: Primary focus will be on
the development, selection and implementation of quantitative
models and techniques/methodologies related to the calculation of
economic capital and RAROC calculation. In addition, will
participate in other activities in the Commercial Analytics
department, such as commercial and small business PD and LGD
modeling, the identification and development of stress scenarios to
support economic capital calculations and scenario analysis.
Familiarity with building econometric models is a must.
ESSENTIAL DUTIES &
RESPONSIBILITIES: * Quantitative Economic Capital Risk
Modeling o Credit Risk Economic Capital
(Commercial, Consumer, Investment Portfolio, Counterparty
) o ALM/Interest Rate Risk Economic
Capital o Market Risk Economic Capital (for the
trading portfolio and Private
Equity) o Operational Risk Economic
Capital o Business Risk Economic
Capital o Aggregation and allocation of Economic
Capital for the various uses (profitability/pricing/finance
reporting, portfolio management and
optimization) o
Modeling the cash flows for the various instruments (credit,
deposits, fee services) in DealPoint and supporting the
methodological implementation of economic capital and expected loss
in DealPoint o Forecasting
operational losses for the Enterprise wide/CCAR stress
test o Ad hoc work that
comes up from new developments in the bank’s business
model o Assist in benchmarking risk
capital (economic and regulatory) to other institutions.
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Keywords: , Cincinnati , Quantitative Analyst - Credit Risk(ECAP), PR / Public Relations , Cincinnati, Ohio
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