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Quantitative Analyst - Credit Risk

Location: Cincinnati
Posted on: March 18, 2019

Job Description:

GENERAL FUNCTION: This person will support the development and implementation of quantitative models related to credit risk mainly in the commercial portfolio. Responsibilities will include developing and on-going maintenance of internal PD and LGD databases and integrating external data relevant to the Bank''s risk portfolio. Will work with IT group and commercial bank group to improve data quality for regulatory and modeling purposes. Will conduct PD migration analyses and back testing of credit risk models. Will participate in the development of stress scenarios to support economic capital calculations as well as in the continuing development of PD models for various parts of the commercial portfolio.





ESSENTIAL DUTIES & RESPONSIBILITIES:


* Database Management


o Maintaining PD rating history for the commercial portfolio and ensuring its accuracy


o Maintaining and updating internal LGD databases, help with internal data validation


o Working with the IT group to improve data quality for regulatory and modeling purposes


o Developing databases for future PD modeling across various commercial portfolios


* Quantitative Risk Modeling


o Support implementation and validation of Basel II Dual Rating System (PD, LGD, EAD)


o Support ALLL model design


o Backtesting and validation of credit risk models


o Performing migration analyses, building transition matrices


o Developing and implementing stress scenarios for use in the economic capital and ALLL methodologies


o Support development of the small business scoring methodology


* General Risk Management Improvements:


o Keep abreast of industry best practice standards for credit risk measurement and economic capital


o Assist in benchmarking risk capital (economic and regulatory) to other institutions


o Support ad-hoc Line of business requests for quantitative modeling





SUPERVISORY RESPONSIBILITIES: None

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

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