Company: Fifth Third Bank
Employee Type:
Job Type:

Job Posted Date:

Player for use on Company Profiles
Quantitative Analyst - Credit Risk
Employment Type : Regular

FLSA Status : Exempt

Posted Date : 6/9/2014

Grade : 14

GENERAL FUNCTION: This person will support the development and implementation of quantitative models related to credit risk mainly in the commercial portfolio. Responsibilities will include developing and on-going maintenance of internal PD and LGD databases and integrating external data relevant to the Bank's risk portfolio. Will work with IT group and commercial bank group to improve data quality for regulatory and modeling purposes. Will conduct PD migration analyses and back testing of credit risk models. Will participate in the development of stress scenarios to support economic capital calculations as well as in the continuing development of PD models for various parts of the commercial portfolio.


* Database Management

o Maintaining PD rating history for the commercial portfolio and ensuring its accuracy

o Maintaining and updating internal LGD databases, help with internal data validation

o Working with the IT group to improve data quality for regulatory and modeling purposes

o Developing databases for future PD modeling across various commercial portfolios

* Quantitative Risk Modeling

o Support implementation and validation of Basel II Dual Rating System (PD, LGD, EAD)

o Support ALLL model design

o Backtesting and validation of credit risk models

o Performing migration analyses, building transition matrices

o Developing and implementing stress scenarios for use in the economic capital and ALLL methodologies

o Support development of the small business scoring methodology

* General Risk Management Improvements:

o Keep abreast of industry best practice standards for credit risk measurement and economic capital

o Assist in benchmarking risk capital (economic and regulatory) to other institutions

o Support ad-hoc Line of business requests for quantitative modeling


MINIMUM KNOWLEDGE, SKILLS AND ABILITIES REQUIRED: Advanced degree in statistics/finance or other quantitative field. Experience in statistical/econometric modeling and database management. Database experience, SAS (including statistical modeling), SQL, VBA, and Business Objects. Knowledge of general lending products (specifically for commercial lending).

Fifth Third Bancorp is a diversified financial services company headquartered in Cincinnati, Ohio. The Company has $130 billion in assets, operates 17 affiliates with 1,320 full-service Banking Centers, including 104 Bank Mart® locations, most open seven days a week, inside select grocery stores and 2,586 ATMs in Ohio, Kentucky, Indiana, Michigan, Illinois, Florida, Tennessee, West Virginia, Pennsylvania, Missouri, Georgia and North Carolina. Fifth Third operates four main businesses: Commercial Banking, Branch Banking, Consumer Lending, and Investment Advisors. Fifth Third also has a 25% interest in Vantiv Holding, LLC. Fifth Third is among the largest money managers in the Midwest and, as of December 31, 2013, had $302 billion in assets under care, of which it managed $27 billion for individuals, corporations and not-for-profit organizations.

Fifth Third Bank is proud to be an affirmative action/equal opportunity employer. Minorities / Females / Individuals with Disabilities / Protected Veterans's Advice

For your privacy and protection, when applying to a job online:
Never give your social security number to a prospective employer, provide credit card or bank account information, or perform any sort of monetary transaction.  Learn More >>

By applying to a job using you are agreeing to comply with and be subject to the Terms and Conditions for use of our website. To use our website, you must agree with the Terms and Conditions and both meet and comply with their provisions.

  • Apply Now
  • Quantitative Analyst - Credit Risk @ Fifth Third Bank

Almost there!

Submit your email address to begin the application process for the Quantitative Analyst - Credit Risk job. .

Email is invalid Email address is needed

By applying to a job using you are agreeing to comply with and be subject to the Terms and Conditions for use of our website.