- Santander US (New York, NY)
- …functions including underwriting, portfolio management, stress testing (HCR/DFAST) and loss reserve calculation (CECL/IFRS). The Credit Risk Model Developer ... Credit Risk Model Developer Country: United States of America **Position...development and management of advanced regulatory-compliant risk rating and loss forecasting models for the Commercial Banking portfolios. These… more
- MUFG (New York, NY)
- …assist risk identification and materiality measurement within the Americas Region. Credit Loss Forecasting Models: + Forecast stress credit losses according to ... Understanding or ability to quickly learn - credit management platform (software) ie credit loss forecast models, stress lost forecasting, Monte Carlo loss … more
- Citigroup (New York, NY)
- … stress testing reviewing. Use Value at risk (VaR) to apply risk quantification methodologies and calibrate stress scenarios based on historical and simulated ... profit and loss vectors to back-test the converge of the model parameters. Apply advanced statistical techniques to analyze historical scenarios under stressed… more