The Senior Quantitative Analyst will play a senior role in the Model Risk Management (MRM) Group, focusing on reviews of models used at the Bank to make business and operating decisions. This includes models for corporate (C&I) and commercial real estate (CRE) exposures for stress testing, as well as allowance models. The model validator will have experience and knowledge of credit loss modeling and validation for commercial or consumer portfolios (e.g., default models, transition models, loss-given-default models), as well as familiarity with various vendor models.
The Quantitative Analysts will participate in model validation and other model risk management activities to ensure model risks are correctly identified, assessed, and captured. This includes the following: