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Quantitative Analyst - Credit Risk(ECAP)

Location: Cincinnati
Posted on: May 30, 2024

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. </<img src='http://track.datafrenzy.com/view.aspx?j=22627138&s=1 width='1' height='1' border='0'/>

Keywords: , Cincinnati , Quantitative Analyst - Credit Risk(ECAP), PR / Public Relations , Cincinnati, Ohio

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