Western Alliance Bank

  • Quantitative Analyst/Risk Modeler

    Req No.
    2018-4471
    Affiliate
    Western Alliance Bank
    Category
    Risk Management & Compliance
    Type
    Regular Full Time
    City
    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 vendor models. This position will work with a senior modeler to develop the next generation of the Bank’s loss forecasting models. In this role, you will contribute to the success of WAL stress testing and loss forecasting 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 risk assessment and stress testing strategies
    • Communicate modeling concepts and model assumptions with regulators, auditors, and independent model validation teams
    • Complete required Model Documentation within or ahead of expected timelines
    • Monitor and improve quality and maintain 'best practice' modeling development.

    Qualifications

    • Master’s Degree in Statistics, Economics, Finance, or related quantitative field (PhD preferred)
    • Advanced statistical modeling experience
    • Strong written and verbal communication skills.
    • Experience with statistical programming language such as SAS or R
    • Familiarity with accounting rules related to charge-offs, recoveries, and non-accrual accounting
    • Experience in Statistical model development methodologies
    • Experience in Statistical model implementation

    Preferred Skills/Experience

    • Experience in major task,deliverables, formal methodologies and disciplines for credit risk modeling at a financial institution regulated by the OCC or Federal Reserve
    • Experience with stress testing concepts and related regulatory guidance(such as Fed Letter SR 11-7)
    • SQL Scripting and database experience
    • Experience in Statistical model development and testing
    • Experience in risk monitoring and reporting
    • Knowledge of Commercial credit risk modeling

     

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