Western Alliance Bank

Senior Quantitative Analyst/Risk Modeler

Req No.
2017-3500
Western Alliance Bank
Category
Risk Management & Compliance
Type
Regular Full Time
Phoenix

Overview

Western Alliance Bank (WAL) is seeking a Quantitative Analyst/Risk Modeler for modeling corporate (C&I) and commercial real estate (CRE) exposures for stress testing, including the Dodd-Frank Act Stress Test (DFAST). The commercial risk modeler will have experience and knowledge of credit loss modeling for commercial or consumer portfolios such as default models, transition models, loss-give-default models, and familiarity with various vendor models. This position will work with a senior modeler to develop the next generation of the Bank’s stress test loss forecasting models. In this role, you will contribute to the success of WAL stress testing initiatives.

Responsibilities

  • Contribute to multiple model development projects for C&I and CRE portfolios
  • Work with other quantitative analysts in model development
  • Participate in data analytics, statistical model development, statistical testing, requirement documentation, and implementation testing of multiple, complex models
  • Partner with portfolio risk managers and business lines to develop and implement stress testing strategies
  • Communicate modeling concepts and model assumptions with regulators, auditors, and independent model validation teams
  • Complete required Model Risk Governance and Tool Risk Governance review procedures within or ahead of expected timelines
  • Perform gap analyses to stress testing related rules, bulletins, and guidance
  • Monitor and improve quality and ensures 'best practice' modeling development techniques

Qualifications

  • Master’s Degree in Statistics, Economics, Finance, or related quantitative field (PhD preferred)
  • 5-10 years of experience responsible for major tasks, deliverables, formal methodologies and disciplines for credit risk modeling at a financial institution regulated by the OCC or Federal Reserve
  • At least 5 years of advanced statistical modeling experience
  • Accounting rules related to charge-offs, recoveries, and non-accrual accounting
  • Allowance for Credit Loss accounting rules and regulations
  • Statistical model development methodologies
  • Statistical model implementation
  • Familiarity with stress testing concepts and related regulatory guidance (such as the Fed Letter SR11-7)

Preferred Skills/Experience

  • Data Analysis with large complex data sets and data warehouses
  • Statistical model development and testing
  • Business analysis and requirements documentation
  • Programming in SAS, R, or Stata
  • Knowledge of Commercial & Industrial credit risk modeling
  • Experience in model development for CRE and C&I

 

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