Risk Management - Wholesale Credit Risk Vice President
On-site · Jersey City, New Jersey, United States
Job Summary
Lead model development for wholesale credit risk, analyzing conceptual soundness of forecasting models, engines, and reserve methodologies; design, develop, and maintain sophisticated statistical/econometric models for forecasting and risk management; develop stress capital modeling for CCAR, ICAAP, and CECL; utilize machine learning techniques for risk monitoring, predictive modeling, and large, complex datasets; collaborate with model implementation, data, and production teams; evaluate model performance regularly; requires strong knowledge of GLMs, time-series, clustering, decision trees, logistic regression, experience with Python, and regulatory documentation.
Required Qualifications
- Solid theoretical and practical knowledge of statistical methods and models: generalized linear models, time-series analysis, clustering, decision trees, logistic regression.
- Experience in handling large amount of panel data, and data cleaning/filtering.
- Hands on programming in Python.
- Basic knowledge on credit risk modeling both at single-obligor level and portfolio level.
- Previous experience in writing documents for regulatory reviews.
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