This position is responsible for the development and implementation of quantitative models related to credit risk in commercial and industrial loans (C&I), commercial real estate (CRE) and consumer portfolios. Develops and maintains the internal probability of default and loss given default databases and will integrate external data relevant to the Bank’s loan portfolio.
Responsibilities:
- Work with the quantitative credit risk models for the bank’s prominent portfolios (PD, LGD and EAD as well as ALLL).
- Work alongside senior leadership and liaise between various lines of business to communicate quantitative results and drive business changes.
- Conduct quantitative stress-tests for the DFAST annual review.
- This position assists in the quantification and analysis of credit risk using data-driven statistical methodologies, interpreting findings, identifying solutions to optimize risk/return equation and developing presentations to senior management.
Qualifications:
- 3-5+ years of quantitative finance experience
- Advanced degree in Finance, Statistics or Mathematics
- Experience managing a team or in a team lead capacity
- Knowledge/Expertise in SAS and R
- Willingness to grow a team and help build out the quantitative space
Job Type: Full-time
Pay: $110,000.00 – $150,000.00 per year
Experience:
- Quantitative Financial: 3 years (Required)
Location:
- Los Angeles, CA (Required)
Language:
- SAS, R (Required)
Work authorization:
- United States (Required)