Senior Econometrician-100000626
U.S. Bank
Description
Credit Administration Risk Analytics is responsible for the development of models to estimate credit losses for multiple portfolios. The portfolios include C&I, CRE, retail mortgages, home equity, installment, credit cards, and small business products. Credit risk models are used for the Bank's economic capital program, Basel II compliance, and stress testing efforts.
The incumbent will be part of the team of econometricians responsible for the development of economic capital and stress testing models for the Bank's loan and lease portfolios. Responsibilities include creating, implementing, and supporting complex econometric models for credit risk that inform and support decisions for Credit, Finance, and Treasury related to Economic Capital and Basel II ICAAP.
Qualifications
Basic Qualifications
- Master's or PhD degree in a quantitative discipline (e.g. Economics, Finance, Mathematics, Statistics, Physics)
- Eight plus years experience in a financial institution
- Three plus years of experience in a quantitative analysis or development role
- Extensive hands-on data analysis and econometrics modeling experience with large data sets
- Familiarity with the use of macroeconomic indicators in econometric models
- Experience using programming languages commonly used in model development, such as SAS, Matlab, VB, and Microsoft Excel, and database languages (e.g. SQL)
- General finance, banking, and accounting knowledge
- Knowledge of credit risk management, economic capital and stress testing concepts
Preferred Skills/Experience
- Strong background and practical experience in statistical or econometric modeling, model validation, Basel II requirements, economic capital and stress testing methodologies is preferred. Experience with Monte Carlo simulations is a plus.
- Experience in macroeconomic forecasting, credit risk forecasting and incorporating macroeconomic variables in credit risk models is highly valued
- Advanced analytical abilities and the ability to work efficiently and independently
- Familiarity with QRM
- Experience working on multidisciplinary development teams
- Ability to build strong relationships with peers, line of business managers and colleagues across the Bank
- Superior oral and written communication skills (esp. the ability to explain complex ideas in simple, non-technical language).