Quantitative Analyst - Credit Risk(ECAP)

Unclassified - Cincinnati, OH

Full-time

Cincinnati, OH

About the position

The primary focus of this position is on the development, selection, and implementation of quantitative models and methodologies related to the calculation of economic capital and RAROC (Risk-Adjusted Return on Capital) calculations. The role is situated within the Commercial Analytics department, where the individual will also engage in various activities such as commercial and small business Probability of Default (PD) and Loss Given Default (LGD) modeling. A significant aspect of the job involves identifying and developing stress scenarios to support economic capital calculations and conducting scenario analysis. Familiarity with building econometric models is essential for success in this role. The responsibilities will include quantitative economic capital risk modeling across various domains, including credit risk economic capital for commercial, consumer, investment portfolios, and counterparty risks. Additionally, the role encompasses Asset Liability Management (ALM) and interest rate risk economic capital, market risk economic capital for trading portfolios and private equity, operational risk economic capital, and business risk economic capital. The candidate will be responsible for the aggregation and allocation of economic capital for various uses, including profitability, pricing, financial reporting, and portfolio management and optimization. Moreover, the position requires modeling cash flows for various instruments such as credit, deposits, and fee services in DealPoint, along with supporting the methodological implementation of economic capital and expected loss in DealPoint. The individual will also forecast operational losses for enterprise-wide stress tests, including the Comprehensive Capital Analysis and Review (CCAR). The role may involve ad hoc work arising from new developments in the bank's business model and assisting in benchmarking risk capital (both economic and regulatory) against other institutions.

Responsibilities

• Develop, select, and implement quantitative models for economic capital and RAROC calculations.
• Engage in commercial and small business PD and LGD modeling.
• Identify and develop stress scenarios to support economic capital calculations and scenario analysis.
• Model credit risk economic capital for various portfolios including commercial, consumer, investment, and counterparty risks.
• Conduct ALM and interest rate risk economic capital modeling.
• Perform market risk economic capital modeling for trading portfolios and private equity.
• Model operational risk economic capital and business risk economic capital.
• Aggregate and allocate economic capital for profitability, pricing, financial reporting, and portfolio management.
• Model cash flows for credit, deposits, and fee services in DealPoint.
• Support the methodological implementation of economic capital and expected loss in DealPoint.
• Forecast operational losses for enterprise-wide CCAR stress tests.
• Assist in benchmarking risk capital to other institutions.

Requirements

• Strong background in quantitative modeling and econometrics.
• Experience with economic capital calculations and RAROC methodologies.
• Familiarity with credit risk, market risk, and operational risk modeling.
• Knowledge of financial instruments and cash flow modeling.
• Ability to conduct scenario analysis and stress testing.

Nice-to-haves

• Experience with regulatory capital requirements and benchmarking.
• Familiarity with financial reporting and portfolio management processes.