Hybrid Quantitative Model Validation Analyst – Credit Risk

at U.S. Bank

• Job title: Quantitative Model Validation Analyst – Credit Risk
• Job type: Full Time
• Experience level: Mid level, Senior
• Salary: $105,400 - $124,000 per year
• Degree requirement: Bachelor's Degree
• Location requirements: Hybrid, Minneapolis, United States

About the role

• Quantitative Model Validation Analyst at U.S. Bank creating and validating statistical models. Part of a dynamic quantitative risk function leading CCAR and CECL estimations.

Responsibilities

• This role will be part of a highly visible and dynamic quantitative risk function within U.S. Bank that leads Stress Testing (CCAR) and Current Expected Credit Losses (CECL) estimations.
• The primary duty of the job is to create, validate, test, document, implement and/or oversee usage of complex statistical models that are used as part of financial decision-making process.
• Deliverable to regulatory and senior management includes the creation of comprehensive written reports, modeling code, business requirements, monitoring reports and related code, and procedures.
• This position will work on a combination of Stress Testing (CCAR) and Credit Expected Credit Losses (CECL) estimations statistical models.
• The role requires to develop, validate risk forecasting models, probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), Net Charge-off (NetCo), and Economic Factor Models.
• This role emphasizes complex statistical models under CCAR stress testing guidance and CECL ASU rule.

Requirements

• Three plus years of large size commercial bank working experience in risk model validation.
• Advanced experience of financial statistical modeling methods (Hazard models, Regression models, Decision Tree models, Time Series, Machine Learning, etc.)
• Related experience with Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models for CCAR and CECL.
• Working experience in CCAR and CECL estimation for both retail and wholesale portfolios, including portfolio such as Residential Mortgage, Consumer Credit Cards/Lines, Wholesale C&I, Wholesale CRE, and Small Business.
• Familiar with the bank reporting and data system.
• Advanced ability to deal with large data and complete model validation and implementation verification process.
• Ability to write and enhance automated testing programs for model performance assessment.
• Bachelor’s degree in a quantitative field, and five or more years of relevant experience OR MA/MS in a quantitative field, and three or more years of related experience OR PhD in a quantitative field, and less than two years of related experience.

Benefits

• Healthcare (medical, dental, vision)
• Basic term and optional term life insurance
• Short-term and long-term disability
• Pregnancy disability and parental leave
• 401(k) and employer-funded retirement plan
• Paid vacation (from two to five weeks depending on salary grade and tenure)
• Up to 11 paid holiday opportunities
• Adoption assistance
• Sick and Safe Leave accruals of one hour for every 30 worked, up to 80 hours per calendar year unless otherwise provided by law