Quantitative Credit Risk

Citizens Bank Boston, MA 02298

About the Job

Description

We are looking for experienced Quantitative Credit Risk professional that will participate in the design, development, testing and execution of commercial credit risk models that estimate credit risk parameters such as probability of default (PD), loss given default (LGD) and Exposure at Default (EAD) estimation across the entire commercial bank. Professionals with experience collaborating with risk and line professionals beyond the modeling environment in order to jointly solve for client and banking needs will find the environment at Citizens particularly satisfying.

Primary responsibilities include:  

  • Develop and support statistical/econometric credit risk models, including default prediction, recovery,
  • and valuation models, looking at correlations, concentrations, rating migrations, and risk contributions
  • Collaborate with business line partners and risk managers to embed and socialize these models and
  • support them with on-going requests.
  • Work with the independent model validation team internally to get models approved after development
  • work is complete
  • Analyze commercial lending portfolio trends in support of portfolio strategies and applications
  • Draw data from source systems and maintain data sets using advance statistical/modeling tools. Work
  • with appropriate parties to resolve or remediate data quality issues
  • Support the Bank’s efforts on Credit Policy and Risk Appetite, including verifying the integrity of the
  • underlying data and rationale, as well as monitoring and validation of the underlying theories and
  • methodologies
  • Support the implementation activities around the developed models.
  • Prepare any ad-hoc risk quantification projects at the request of management
  • Participate in peer review sessions and maintain awareness of new advances in credit risk modeling techniques to ensure the application of best practices to Citizens’ credit risk models. Assure quality and leading-edge nature of work by helping to solve problems faced by others

Qualifications

Required Skills:

  • At least 5 years of experience in commercial/wholesale banking credit risk modeling, including previous experience in data mining
  • Experience / expertise in problem solving/working collaboratively outside of a modeling environment would be beneficial

  • Strong understanding of commercial banking and lending products. Experience in a lending and credit capacity would be a plus

  • Background and knowledge of the Basel, CCAR/DFAST rules and regulations

  • Understanding of compliance and implications of Basel, FDIC, OCC, FRB regulatory frameworks as well as U.S. and International accounting standards

  • Extensive understanding of relational databases and ability to effectively utilize statistical software such as SAS, Stata, and R

Education:

  • PhD or Master’s degree in Economics/ Statistics/ Finance/ Physics/ Mathematics preferred

Hours & Work Schedule

Hours per Week:  40

Work Schedule:  Monday-Friday 8:00-5:00


Why Work with Us

At Citizens, you’ll find a customer-centric culture built around helping our customers and giving back to our local communities. When you join our team, you are part of a supportive and collaborative workforce, with access to training and tools to accelerate your potential and maximize your career growth.

Equal Employment Opportunity

It is the policy of Citizens Bank and Citizens Securities, Inc. to provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to race, color, ethnicity, religion, gender, pregnancy/childbirth, age, national origin, sexual orientation, gender identity or expression, disability or perceived disability, genetic information, citizenship, veteran or military status, marital or domestic partner status, or any other category protected by federal, state and/or local laws.

Equal Opportunity & Affirmative Action Employer Disabled/Veteran

Citizens Bank is a brand name of Citizens Bank, N.A. and each of its respective subsidiaries, and Citizens Bank of Pennsylvania