Jr. Modelling/Forecasting Analyst - 55403

Business Unit: Rsk Model Development

Duration: 5 Months

Interview Process: 1 round - Virtual 1 hr

Work Location: Hybrid - (ANY 2 days a week)

CANDIDATE PROFILE DETAILS:

Years of experience: 1-5 years of exp (new grads)

Reason for request/why opened: additional - workload

% Interaction with Stakeholders: 25%

Team Size: 9

Project: ongoing project

Selling Point of the position: good opportunity to get relevant exp in quantitative team

How will performance be measured: accuracy of writing code and speed

Best vs Average Candidate: graduate degree in quant discipline

SUMMARY OF DAY-TO-DAY RESPONSIBILITIES:

The NRMD group is hiring a Modelling/Forecasting Senior Analyst to develop, enhance, and implement credit risk models for non-retail portfolios. Detailed responsibilities are as follows:

• Develop PD, LGD and UGD models for DFAST, EWST, CECL and IFRS9 usage;

• Design econometric models to explore relationships between credit losses and the macroeconomic environment;

• Design mathematical and statistical algorithms to enhance existing models;

• Conduct applied research for credit risk modeling;

• Perform ad hoc analyses as required by management and other business partners;

• Participate in design, planning, implementation and testing of various modeling initiatives;

• Collaborate with non-retail teams and participate in cross-functional projects as needed;

• Produce and maintain well-articulated documentation on above;

• Write and maintain robust code for performing the above functions.

MUST HAVE:

• Strong background in data-driven statistical modeling, supervised learning, unsupervised learning and discriminative models.

Strong theoretical and numerical background.

• Programming experience in SAS, Python or MATLAB is strongly preferred.

• Knowledge of coding standards and object-oriented programming.

• Experience working with relational databases and SQL.

• Strong interest and ability to undertake applied research.