Quant Modeling Lead [Multiple Positions Available]

DESCRIPTION:

Duties: Drive validation projects, including planning, execution, coordination, and final delivery overseeing all phases of the model review process while also contributing individual technical assessments.

Facilitate the Ongoing Performance Monitoring central coordination process for Consumer and Community Banking models.

Coordinate between model reviewers and developers, facilitating collaboration, tracking critical deadlines, and streamlining the performance monitoring workflow.

Monitor model performance across the CCB portfolio, identify underperforming models, coordinate remediation efforts between teams, and synthesize and consolidate model performance results into presentations.

Conduct validation of models related to fraud models, including authentication and login models designed to detect login challenges.

Perform model validation, providing guidance on a model's appropriate usage, evaluating ongoing model performance monitoring, ensuring that model users are aware of model strengths and limitations, and developing model risk policies and procedures.

Conduct validation of models related to credit risk of credit card portfolio, including forecasting and scorecard models, which are used for stress testing, risk and regulatory capital measurement, allowance determination, and new origination.

Evaluate conceptual soundness of model specification, reasonableness of assumptions, reliability of model inputs, accuracy of implementation, suitability and comprehensiveness of model performance metrics and risk measures associated with model usage.

Design and perform independent testing, including theoretical derivation, empirical data analysis, and benchmark model development for credit card portfolio.

Document review findings and write review reports.

Communicate review findings to model developers and work with model developers to establish action plans and corresponding timelines.

Address requests from internal/external auditors and regulators and work on regulatory examination.

Identify model risks and issues and quantify the potential impacts and assess the corresponding compensating controls, to ensure that models are used appropriately in the business context and that model users are aware of the models' strengths and limitations and how these can impact their decisions.

Design and evaluate model risk measurement.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Mathematics, Mathematics, Economics, Statistics, Machine learning, or related field of study plus 3 years of experience in the job offered or as Quant Modeling Lead, Quant Modeling Associate, Quantitative Researcher, or related occupation.

Skills Required: This position requires experience with the following: Developing models, risk management, underwriting, or analyzing portfolio performance with Credit Cards, Mortgage, or Auto Loans; building, validating, and interpreting logistic and Linear Regressions models using real-w...