Economist and Data Scientist

About the position

We are looking for an experienced economist and data scientist that will participate in the design, development, testing and execution of various models that cover macroeconomic scenario generation and credit risk models.

Responsibilities

• Conduct research and analyses of the current state of the US economy, economic policies, and/or events and contribute to the incorporation of the results into macroeconomic forecasts.
• Develop models and tools to incorporate climate related physical and transition risks to credit risk models such as probability of default (PD), loss given default (LGD), and Loss Forecasting (CCAR, CECL) for Bank's commercial/consumer lending portfolios.
• Build statistical/econometric credit risk models, including default prediction, recovery, and valuation models, looking at correlations, concentrations, rating migrations, and risk contributions.
• Collaborate with business line partners and risk managers to socialize these models and support them with on-going requests.
• Work with the independent model validation team to get models approved after development work is complete.
• Analyze portfolio trends in support of strategies and applications.
• Support the implementation of the developed models.
• Prepare ad-hoc risk quantification projects at the request of management.

Requirements

• 5+ years of experience in commercial/consumer banking credit modeling and/or related experience in an academic setting.
• Extensive understanding of relational databases and ability to effectively utilize statistical software such as Python, R, Stata and SAS.
• Effective professional communication of analytical concepts and results in both written and verbal form.
• Experience as an economist would be a plus.

Benefits

• Competitive pay
• Comprehensive medical, dental and vision coverage
• Retirement benefits
• Maternity/paternity leave
• Flexible work arrangements
• Education reimbursement
• Wellness programs