Financial Assets Modeler Sr
Company: Flagstar Bank
Location: Cleveland
Posted on: April 26, 2024
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Job Description:
JOB SUMMARY A Senior Financial Assets Modeler is responsible for
the design, build and operation of compliant quantitative models
and producing analytics for current expected credit loss (*CECL*),
macroeconomic scenarios (*Stress Testing*), and portfolio (*Loan
Concentration*) credit risk. Design and assist with the integration
of all applicable inputs, outputs, calculations and analytics
required by the Assets and Liabilities Management (*ALM*) and the
Allowance for Loan and Lease Losses (*ALLL/CECL*) models. The scope
of model design and operation includes development, enhancement,
maintenance, and execution of statistical and cash flow models;
design, creation, testing and reporting of macroeconomic scenarios;
support for governance, benchmarking, management, validation, and
regulatory reporting pertaining to quantitative models; and the
development, enhancement, maintenance, and execution of production
control procedures within the integrated ALM/CECL/Stress Testing
model frameworks. A Senior Financial Assets Modeler is responsible
for maintaining the skills and knowledge relevant to their assigned
job responsibilities. In addition, the Modeler promotes and
advocates the adoption of appropriate new methodologies for
quantitative models and analysis that benefit the Bank. Provides
assistance with identifying and designing quantitative solutions to
problems as presented by management to further the Bank's strategic
plans. This role may provide coaching or mentoring to other members
of the department.ESSENTIAL FUNCTIONSPerforms extensive data
analysis in support of financial planning, stress testing and
reporting. Develops, tests, and documents internally developed
quantitative models and analytics, including complex financial,
econometric, and statistical frameworks primarily focused on risk
management and financial reporting. Implements, tests, and
documents externally developed and/or licensed models. Assists with
the integration of models within the FMA Department and amongst
other Bank departments to ensure consistency and accuracy across
all model outputs. Develops, tests, and documents complex model
execution procedures and controls to be run in an audited,
production environment. Develops, tests, and documents procedures
and controls for executing external, third-party models. Assists
with the development and implementation of routine analytics and
reports. Utilizes industry standard quantitative software, data
science programming languages, database systems, and workstation
productivity applications to produce required deliverables. Assists
with the creation of management and regulatory reports containing
descriptions of the development, testing, validation and execution
of quantitative modeling and analytic outputs. Ensures compliance
with model governance policies and procedures as an integrated
feature of all quantitative modeling and analytic activities.
Performs model governance procedures including the execution of
required production controls; model, data and procedure version
control; and end-user computing policies and guidelines. Assists
with the analysis and documentation of Management, Internal Audit,
Enterprise Risk Management and Regulatory findings and
requirements. Assists with departmental cross-training and
knowledge transfer to minimize staffing risk and promote effective
communications. Performs special projects and additional duties and
responsibilities as required. Where applicable and when performing
the responsibilities of the job, employees are accountable to
maintain Sarbanes-Oxley compliance and adhere to internal control
policies and procedures.
EDUCATION AND EXPERIENCEBachelor's degree in Finance, Economics,
Statistics, Mathematics or other advanced quantitative field.
Master's or Ph.D. preferred. 5 to 8 years of experience with credit
risk modeling; including linear modeling frameworks (Ordinary Least
Squares, Logistic Regression, Generalized Linear Models, Credit
Risk Scorecards, Time Series, Roll Rate, Transition Matrix, etc.).
5 to 8 years of experience with commercial lending data; Commercial
Real Estate (CRE), Commercial and Industrial (C-I), Construction,
and Asset-Based Lending (ABL). 5 to 8 years of experience working
with and analyzing model data preparation requirements (missing
values, transformations, re-classifications, etc.). 3 to 5 years of
experience with CCAR/DFAST modeling requirements. 1 to 3 years of
experience with ALLL/CECL modeling requirements. 1 to 3 years of
experience deploying credit loss models into a production ALM
environment. 1 to 3 years of experience using third-party
macroeconomic forecast data. -
KNOWLEDGE, SKILLS AND ABILITIESSAS: experience developing and
documenting well-structured, standards-based SAS programs using
Enterprise Guide, SAS data analysis and management procedures (Base
SAS procedures, SAS macros, SAS functions, program factoring such
as include , etc.), PROC SQL, statistical procedures (PROC GLM,
PROC GEE, PROC GENMOD, PROC LOGISTIC, PROC ARIMA, etc.). R:
experience using similar routines mentioned above with RStudio and
standard R, additional R experience developing transition matrix
models. Excel: experience developing and documenting
well-structured, auditable workbooks, credit risk calculations,
pivot tables, and publishable tables, charts, and graphs. SQL:
experience developing and running complex data extract and
transformation queries using SAS' PROC SQL. Experience working in a
SQL Server database environment. Experience working in a SAS Server
environment using Enterprise Guide as the development and execution
environment. Experience working with various data file formats
including SQL databases, SAS, Excel, and raw format data.
Experience working in a networked Microsoft Windows end-user
computing environment.
Keywords: Flagstar Bank, Parma , Financial Assets Modeler Sr, Accounting, Auditing , Cleveland, Ohio
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