Overview
This role will work in quantitative modeling group within Modeling and Analytics team to support model development initiatives in the loss forecasting, CCAR (Comprehensive Capital Analysis and Review)/stress testing, CECL (Current Expected Credit Loss) practices. Participates in the Bank's Model Governance processes including development and execution of model performance monitoring plans and effective challenge/peer review of other team's models.
Responsibilities
- Maintains an understanding of loss modeling techniques commonly used in CECL and Credit Risk Stress Testing/CCAR and ratings score carding processes such as transition ratings models, logistic regression/hazard models, competing state hazard models, vintage loss models, etc.
- Develop and support of credit loss models (Probability of Default, Exposure at Default, Loss Given Default) for commercial and industrial (C&I) and commercial real estate (CRE) portfolios. Has strong programming skills in Python/SAS (or similar analytics software) and has ability to work with large modeling datasets.
- Ability to work as part of analytical team and do analysis with minimum supervision.
- Produce accurate, concise and high-quality model build documentation
- Create model performance monitoring reports on an ongoing basis and share results with various stakeholders
- Support the implementation of the models managed by the group
- Contribute to model development presentations for various audiences including model risk management, credit officers, model users, internal audit and regulators.
- The role will primarily focus on supporting model development and model monitoring.
Qualifications
Bachelor's Degree and 1 years of experience in Risk Analytics or Analytics OR High School Diploma or GED and 5 years of experience in Risk Analytics or Analytics
Requirements:
- Advanced degree (Masters or PhD) in Quantitative discipline such as Statistics, Applied Mathematics, Operations Research, Econometrics, Actuarial Science
- Advanced knowledge of Statistical Methods for model building, Machine Learning, and Big Data
- Excellent programming knowledge in SAS / Python or R
- Excellent data manipulation skills on large data sets with ability to source data from Oracle / SQL
- Ability to solve problems while working under pressure, and undertake, execute and deliver on-time multiple simultaneous projects under tight deadlines
- Excellent written and verbal communication with a focus on detailed and clear technical writing
What We Do
For more than 100 years, Raleigh, N.C. -headquartered First Citizens Bank has helped customers do more with the money they earn, save and invest. Along the way, we’ve built our company on such timeless values as integrity, hard work and taking the long-term view.
In 1898, First Citizens began as the Bank of Smithfield in Johnston County, N.C. From a single office, First Citizens has grown to more than 550 branches in 19 states. First Citizens today is a full-service banking institution with more than 6,500 employees. Our parent company, First Citizens BancShares, Inc. (NASDAQ: FCNCA), has more than $35 billion in assets. First Citizens is now the country’s largest family-controlled bank, with a record of stable leadership few institutions can rival.
First Citizens offers:
• Traditional banking services.
• Essential business and professional services.
• Wealth management capabilities.
• Hundreds of branches and ATMs, a full-service telephone bank and sophisticated online and mobile banking offerings.
For over 120 years, customers have trusted First Citizens with their money and their futures. And that’s a trust we’ve always taken seriously. For every First Citizens customer, now and in the future, we make a simple promise: We will always live and work by the values that have distinguished First Citizens since the day we opened our doors.
Forever First is our commitment to the people, businesses and communities who rely on us to be the best bank we can be. As we say, “Money isn’t everything. But so much depends on what you do with your money.” First Citizens Bank. Forever First®.
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