Sr Data Scientist - Model Validation and Credit Risk

Description

The successful candidate will join the Model Risk Management and Validation Group (MRM&V). MRM&V performs independent analytical reviews and validations of all models throughout Citizens Bank. As a Senior Data Scientist specializing in model validation and credit risk model monitoring, you will play a crucial role in ensuring the accuracy and reliability of credit risk models within the Bank. This position involves validating models, analyzing large datasets, ensuring regulatory compliance, collaborating with cross-functional teams, and regularly monitoring model performance. Your expertise will help the bank manage risk effectively and make informed business decisions.

Key Responsibilities:

• Validate credit risk models developed internally or by vendors using classical statistical techniques and machine learning approaches. This includes models for consumer finance, personal loans, mortgages, small business banking, credit cards, and commercial banking.
• Regularly monitor model performance, conduct backtesting, and report findings to senior management and regulatory bodies. Lead best practices of performance monitoring techniques, ensure comprehensive documentation, and maintain best-in-class model monitoring and outcome analysis.
• Automate data collection, analysis, and reporting processes using SAS, R or Python. Develop scripts to grab data, perform analysis, and output results to spreadsheets and reporting templates.
• Collect and analyze large datasets to calibrate and validate credit risk models. Evaluate the creditworthiness of clients and predict potential losses.
• Ensure models validation and monitoring comply with US regulatory requirements, such as OCC and Federal Reserve.
• Work closely with cross-functional teams, including senior model validators, model developers, risk officers, and business units, to ensure models are effectively integrated into business decision-making processes.
• Provide timely remediation of data issues through effective root cause analysis.

Qualifications: 

• 3+ years experiences in model development or validation.
• Prior experience in delivering both written and verbal communications to a senior management audience and developing constructive relationships with a wide range of different stakeholders.
• Good business knowledge and familiarity with consumer/small business/commercial banking products, operation, and credit processes.
• Familiar with essential quantities techniques used in financial models.
• Knowledge with Machine Learning algorithm in model development or validation is a plus.
• Prior experience with developing or validating models such as stress testing, prepayment or profitability models will be a plus.

Skills: 

• Quantitative programming (e.g., SAS/SQL, Python, R, etc.).
• Good communication. (both verbal and written)
• Solid project management. 
• Ability to multitask.

Education:

• Master’s or Ph.D. degree in finance, economics/econometrics, statistics, or other quantitative fields (physics, computer science, mathematics, etc.)  required

Hours & Work Schedule: 3 days in the office, 2 days work from home

• Hours per Week: 40
• Work Schedule: Monday-Friday

THIS POSITION IS NOT AVAILABLE FOR VISA SPONSORSHIP.

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Equal Employment Opportunity

Citizens, its parent, subsidiaries, and related companies (Citizens), provides equal employment and advancement opportunities to all colleagues and applicants for employment without regard to age, ancestry, color, citizenship, physical or mental disability, perceived disability, or history or record of a disability, ethnicity, gender, gender identity or expression, transgendered and transitioning individuals, genetic information, genetic characteristic, marital or domestic partner status, victim of domestic violence, family status/parenthood, medical condition, military or veteran status, national origin, pregnancy/childbirth/lactation, colleague’s or a dependent’s reproductive health decision making, race, religion, sex, sexual orientation, or any other category protected by federal, state and/or local laws. At Citizens we are committed to fostering an inclusive culture that enables colleagues to bring their best selves to work every day and where all are expected to be treated with respect and professionalism. Employment decisions are based solely on experience, performance, and ability. We perform our best so we can do more for our customers, colleagues, communities and shareholders.