Company: Fifth Third Bank
Employee Type: Full-Time
Job Type: Finance
Job Posted Date: 6/28/2014
Quantitative Analyst - Credit Risk(ECAP)
Employment Type : RegularFLSA Status : ExemptPosted Date : 1/27/2014Grade : 15Affiliate : FIFTH THIRD BANK, CINCINNATI
GENERAL FUNCTION: General risk model development, validation and documentation. Primary focus will be on the development, selection and implementation of quantitative models related to credit risk to support both economic capital and Basel 2 regulatorycapital calculations. Position emphasis will be on evaluating existing in house default and migration data and integrating external data relevant to the banks risk portfolio. In addition, will participate in the identification and development of stressscenarios to support economic capital calculations. Future / concurrent participation in economic capital model development and risk aggregation for other bank risks and products.
ESSENTIAL DUTIES & RESPONSIBILITIES:
* Quantitative Risk Modeling
o Support implementation and validation of Basel II Dual Rating system (PD, LGD, EAD estimation).
o Support mapping to Basel 2 and calculation of regulatory capital.
o Support models and EL/UL calculations for economic capital.
o Recalibrate dual rating model parameter estimates based on actual losses, default and migration analysis.
o Perform regression analysis on firm financial ratios and economic data to evaluate the explanatory power of the ratios in predicting migration and default for different parts of the portfolio.
o Analyze historical data on relevant financial ratios and other external market data for C&I, Real Estate, SME and retail portfolios to get an understanding of their distribution to support model calibration.
o Support ALLL model design and explanation of model outcome over time.
o Validation, stress testing and documentation of risk models and assumptions.
* 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 Leverage analytic capabilities in overall decision making and risk identification.
o Support ad-hoc Line of Business requests for quantitative modeling of potential new businesses.
o Support risk capital assessment related to any future mergers and acquisitions.
o Evaluate possible impact of new business/products on economic risk capital.
* Other projects and tasks as assigned by the Manager of Risk Strategies and Reporting.
SUPERVISORY RESPONSIBILITIES: This position would supervise a junior quantitative analyst. Responsible for managing staff through employee development, challenging opportunities, recognizing employees for their accomplishments and developing strongbench strength. Under guidance from manager, perform general staff duties relating to performance evaluations, promotions, salary recommendations and terminations.
MINIMUM KNOWLEDGE, SKILLS AND ABILITIES REQUIRED:
* Bachelor's degree in statistics, finance or related required.
* Advanced degree in statistics/finance preferred.
* Minimum five years experience in applying and managing use of statistical risk management models - such as Credit Metrics, Credit Risk + or KMV are required.
* Must have an understanding of both Basel II and economic capital frameworks.
* Experience in a cross- functional environment working with portfolio management concepts and constructing and explaining risk models are essential.
* Must have Database experience, understanding of SQL, Business Objects, Hyperion, SQL Server and General Microsoft products.
* Product knowledge in general lending products and specifically with SME, retail and payment processing solutions.
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
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