Credit Risk Modeling and Reporting Analyst
SUMMARY: Reporting to the Risk Analytics and Reporting Manager, the Credit Risk Modeling and Reporting Analyst is part of the Credit Risk Reporting and Analytics team, a dynamic team of talented professionals whose task is to produce valuable recurring credit risk reporting and analytics as well as advance the modeling framework to identify and manage credit risk. The Credit Risk Modeling and Reporting Analyst uses a combination of analytical, communication, and technical reporting skills to further advance the various risk analytics initiatives and add value to the organization by maintaining and designing professional, articulate, and insightful reports for management.
ESSENTIAL DUTIES AND RESPONSIBILITIES include the following. Other duties and special projects may be assigned.
- Periodic reporting on the loan portfolio. This includes report generation in a wide variety of formats including but not limited to Tableau dashboards, Microsoft Excel report, PowerPoint presentations and Microsoft Word reports, on a periodic as well as ad-hoc basis. Reporting includes but is not limited to: Quarterly and end-to-end stress testing, credit risk attribution, credit VaR, sensitivity analysis, risk decomposition. This includes the generation and utilization of results from Moody's RiskCalc, Commercial Mortgage Metrics, and RiskFrontier platforms.
- Drive the automation of report and dashboard generation in a manner that drives consistency, accuracy and repeatability in credit risk reporting.
- Develop expertise in Moody's CMM, RiskCalc and RiskFrontier.
- Integrate and utilize data from a variety of sources in an efficient and accurate manner to drive excellence in risk reporting.
- Assist risk management in the design and implementation of risk reporting across a variety of media.
- The analyst will be required to maintain accurate documentation on a variety of tasks associated with their role.
- The analyst should be able to utilize knowledge of credit risk concepts to identify inconsistencies in the reports they generate.
- Work closely with the data and technology teams to improve the data infrastructure needed to support the above initiatives.
QUALIFICATIONS/COMPETENCIES
To perform this job successfully, an individual must be able to perform each essential duty satisfactorily. The requirements listed below are representative of the knowledge, skill, and/or ability required. Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions.
EDUCATION and/or EXPERIENCE:
- Degree in a quantitative discipline (e.g. Statistics, Finance, Mathematics, Engineering, Economics).
- 2+ years' experience in financial services, preferably within a Credit Risk, Treasury, Capital Markets, or ALM division of a medium to large financial institution, with some direct exposure to analytics and modeling applied to finance and risk.
- Solid understanding of credit models (PD, LGD, etc). This Analyst should be able to use this understanding to interpret and discover inconsistencies in risk results.
- Understanding of statistical methods including, but not limited to, Monte Carlo simulations, Logistic regressions, linear regressions.
- Excellent communication skills (visual, verbal, and written) with the ability to articulate complex concepts into a format digestible by a diverse audience.
- Proficiency in generating reports using Tableau
- Proficiency with programming languages, particularly R or Python.
- Experience utilizing and merging data from a variety of databases.
- Strong interpersonal skills to aid in working with different divisions within the company.
- Ability to work under pressure, meet deadlines, manage competing initiatives and adapt to an ever changing work pace with a focus on accuracy and attention to detail.
- Candidates with less banking experience but outstanding skills may be considered.
DESIRED QUALIFICATIONS AND SKILLS
- Experience with Moody's Credit Risk Solutions (RiskCalc, Commercial Mortgage Metrics, RiskFrontier).
- Prior experience in credit risk reporting.
- Prior experience working with databases.
- Prior experience automating tasks.
- Knowledge of statistical concepts relating to credit risk measurement
CERTIFICATES, LICENSES, REGISTRATIONS: CFA, PRM, FRM a plus.