Job Description

Description

We are looking for an experienced quantitative credit risk professional that will participate and lead in the 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 the Bank’s Lending Portfolios. Professionals with experience collaborating with risk and line professionals beyond the modeling environment in order to collaboratively 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 probability of default (PD), recovery/loss given default (LGD), and valuation models, looking at correlations, concentrations, rating migrations, and risk contributions.
• Work with business line partners in embedding and socializing these models and support them with ongoing requests.
• Work with the independent model validation team internally to get models approved after development work is complete.
• Analyze consumer lending portfolio trends in support of portfolio strategies and applications.
• Draw from source systems and maintain large data sets using advanced statistical/modeling tools. Work with appropriate parties to resolve or remediate data quality issues.
• Maintain, review, and adhere to the organization’s credit policy; verifying the integrity of the underlying data; constant monitoring and validation of the underlying theories and methodologies.
• Support implementation of model development, including third-party vendor solution tools for credit risk.
• 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 CFG credit risk models. Assure quality and leading-edge nature of work by helping to solve problems faced by others.

Required Skills:

• 7+ years experience in the financial industry working with developing models.
• Prior experience in loss forecasting model development in consumer or commercial lending portfolios (consumer preferred).
• Strong understanding of commercial banking and lending products.
• 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.
• Background and knowledge of the FASB CECL, DFAST rules, and other banking regulations like the Fair Lending Act.
• Understanding of compliance and implications of FDIC, OCC, FRB regulatory frameworks as well as U.S. accounting standards.

Education:

• BA Degree in a quantitative field required – Econometrics, Statistics, Mathematics, Operational Research, Physics.
• PhD or Master’s degree preferred.

Work Schedule: Hybrid - 3 days in office, 2 days work from home

• Hours per Week: 40
• Work Schedule: Monday-Friday

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Equal Employment Opportunity

At Citizens we value diversity, equity, and inclusion, and treat everyone with respect and professionalism. Employment decisions are based solely on experience, performance, and ability. Citizens, its parent, subsidiaries, and related companies (Citizens) provide equal employment and advancement opportunities to all colleagues and applicants for employment without regard to age, ancestry, color, citizenship, physical or mental disability, perceived disability or history or record of a disability, ethnicity, gender, gender identity or expression (including transgender individuals who are transitioning, have transitioned, or are perceived to be transitioning to the gender with which they identify), genetic information, genetic characteristic, marital or domestic partner status, victim of domestic violence, family status/parenthood, medical condition, military or veteran status, national origin, pregnancy/childbirth/lactation, colleague’s or a dependent’s reproductive health decision-making, race, religion, sex, sexual orientation, or any other category protected by federal, state and/or local laws.

Equal Employment and Opportunity Employer

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

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