- Wilmington, Delaware, United States
- Hybrid
- Full-time · Senior
- $115K–$118K per year
- 2–5 years
Analyze the performance of highly quantitative Comprehensive Capital Analysis and Review (CCAR)/Dodd-Frank Act stress testing (DFAST) econometric stress loss forecasting models and support CCAR/DFAST Current Expected Credit Losses (CECL) quarterly and annual model performance reporting.
Compensation
$114,600 to $117,500
Responsibilities
- Analyze the performance of CCAR/DFAST econometric stress loss forecasting models
- Support countries and regions for CCAR/DFAST CECL quarterly and annual model performance reporting
- Compare performances of different modeling suites for regulatory submission
- Monitor model performance on quarterly basis by analyzing and summarizing back-testing results
- Document modeling activities related to model development, model change, model monitoring and forecasting analysis
Requirements
- Master’s degree in Quantitative Finance & Risk Management, Finance, Statistics, Mathematics, Economics, or related quantitative field
- Bachelor’s degree in specified fields with 5 years of post-baccalaureate experience