QUANTITATIVE CREDIT RISK MANAGER
– CREDIT WHAT IS THE OPPORTUNITY?
This position within Credit Portfolio Risk will support development and execution of CCAR/DFAST stress loss models for commercial and industrial loans (C&I), commercial real estate (CRE), consumer, and residential portfolios.
Develops and maintains the internal probability of default , and loss given default databases, and other related credit risk datasets and will integrate external data relevant to the Bank’s loan portfolio.
This position works with IT and Credit Administration to improve data quality for regulatory and modeling purposes.
It will conduct probability of default (PD) migration analyses and back testing of credit risk models.
This position participates in the development and use of idiosyncratic and regulatory stress scenarios to support stress testing and economic capital calculations, as well as, in the continuing development of PD models for various parts of the commercial and consumer portfolios.These models will inform and support decisions for Credit, Finance, and Treasury related to Economic Capital, Dodd Frank Act Stress Test (DFAST) and Allowance for Loan and Lease Losses (ALLL).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.
Credit Administration DivisionAs a member of City National’s Credit Administration group, you will contribute to the company’s success by upholding the bank’s strong credit culture, while facilitating growth and maintaining the quality of City National’s loan portfolio.
WHAT WILL YOU DO?
* Data and Database Management* Generate datasets for model development, including execution of controls for data generation* Using software techniques, clean datasets and identify outliers.
Document process.* Obtain and conduct QA/QC on all data required for CCAR stress loss model development.* Maintain and update internal loss given default (LGD) database, help with internal data validation.* Work with the IT group to improve data quality for regulatory and modeling purposes.* Quantitative Risk Modeling* Support champion and challenger CCAR Stress Loss Models.* Develop benchmarking models.* Quantify model performance across various segments and time periods.* Back test and validate stressed credit risk models.* Perform sensitivity testing on model parameters.* Perform attribution of model results* Recalibrate all models annually to incorporate latest data.* Support portfolio models such as Moody’s RiskCalc and CoStar Compass, including automation of model execution.* General Risk Management Improvements* Support internal stress testing initiatives including CRE Portfolio quarterly loss benchmarking.* Assist in benchmarking Stress Test losses to other institutions.* Support other department initiatives such as acquisition accounting WHAT DO YOU NEED TO SUCCEED Must-Have* * Bachelor’s Degree* 3 years of experience in a risk quantitative position required.* Minimum 3 years technical experience obtaining information from disparate sources, including production and ad hoc systems, linking and analyzing the information, performing data integrity checks and exploratory data analysis required.* Minimum 3 years of experience with modeling software required, Python, R, Stata, R, Matlab, Sas, VBA.
Skills and Knowledge * Advanced degree in statistics/finance/economics or other quantitative field.* Experience in statistical data modeling, statistical diagnostics and database management.* Software experience: Python, SQL, VBA, Excel, Statistical Programming
– R, and Business Objects.* Familiarity with general lending products (specifically for commercial lending).* Three years of experience in quantitative analysis, preferably in the financial services industry with an emphasis in the area of risk management.* Strong background and practical experience in statistical or econometric modeling, model validation, DFAST, Basel II, economic capital and stress testing methodologies.* Experience in macroeconomic forecasting, credit risk forecasting and incorporating macroeconomic variables in credit risk models* Ability to build strong relationships with peers, line of business managers and colleagues across the Bank * To be considered for this position you must meet at least these basic qualificationsThe preceding job description has been designed to indicate the general nature and level of work performed by employees within this classification.
It is not designed to contain or be interpreted as a comprehensive inventory of all duties, responsibilities, and qualifications required of employees assigned to this job.
INCLUSION AND EQUAL OPPORTUNITY EMPLOYMENTCity National Bank is an equal opportunity employer committed to diversity and inclusion.
All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, veteran status or any other basis protected by law.
ABOUT CITY NATIONAL We start with a basic premise: Business is personal.
Since day one we’ve always gone further than the competition to help our clients, colleagues and community flourish.City National Bank was founded in 1954 by entrepreneurs for entrepreneurs and that legacy of integrity, community and unparalleled client relationships continues to drive phenomenal growth today.
City National is a subsidiary of Royal Bank of Canada, one of North America’s leading diversified financial services companies.
LI-IR1 #CA-IR Equal Opportunity Employer Minorities/Women/Protected Veterans/Disabled