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Principal Data Scientist
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Full-time
- We are looking for a experienced quantitative credit risk professional that will participate and lead in design, development, testing and execution of credit risk models that cover CCAR/ DFAST Stress Testing, CECL (ACL), Economic Capital, BAU Loss Forecasting and other applications like lifetime loss for pricing for Bank’s Lending Portfolios.
- Develop and support statistical/econometric credit risk models, including probability of default (PD), recovery/loss given default (LGD), and valuation models, looking at correlations, concentrations, rating migrations, and risk contributions.
- Work with the independent model validation team internally to get models approved after development work is complete
- Prior experience in loss forecasting model development in consumer or commercial lending portfolios (consumer preferred).
- Strong knowledge of statistical software packages; previous experience in data mining, demonstrated experience / expertise in problem solving Extensive understanding of relational databases and ability to effectively utilize statistical software – SAS, Stata, R and Python.
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