Sr Data Scientist

Description

We are looking for an experienced quantitative analyst that will participate in the design, development, testing and execution of various models that cover credit risk parameters such as probability of default (PD), loss given default (LGD), ALLL (including CECL) and Loss Forecasting (CCAR) for Bank’s commercial/consumer lending portfolio.  

Primary responsibilities include:

• Develop statistical/econometric credit risk models, including default prediction, recovery, and valuation models, looking at correlations, concentrations, rating migrations, and risk contributions. 
• Collaborate with business line partners and risk managers to socialize these models and support them with on-going requests.  
• Work with the independent model validation team to get models approved after development work is complete. 
• Analyze portfolio trends in support of strategies and applications.
• Support the implementation of the developed models. 
• Prepare ad-hoc risk quantification projects at the request of management.    

 Required Skills 

• At least 5 years of experience in commercial/consumer banking credit modeling and/or related experience in an academic setting. Experience in a lending and credit capacity would be a plus.     
• Extensive understanding of relational databases and ability to effectively utilize statistical software such as SAS, Stata, and R 

Education:

• Bachelor’s Degree in Economics, Finance, Mathematics and Statistics at a minimum. 
• PhD or Master’s degree in Economics/ Statistics/ Finance/ Physics/ Mathematics preferred.

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

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

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Equal Employment Opportunity

At Citizens we value diversity, equity and inclusion, and treat everyone with respect and professionalism. Employment decisions are based solely on experience, performance, and ability. Citizens, its parent, subsidiaries, and related companies (Citizens) provide 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 (including transgender individuals who are transitioning, have transitioned, or are perceived to be transitioning to the gender with which they identify), 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.

Equal Employment and Opportunity Employer

Citizens is a brand name of Citizens Bank, N.A. and each of its respective affiliates.