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Quantitative Risk Manager

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Job Details
Job Order Number
JC133347727
Company Name
OneMain Financial
Physical Address

Wilmington, DE 19806
Job Description

The Risk Manager – Modeling and Analytics will perform the following duties. Build Enterprise Risk Models and supporting strategies to solve business issues. Conduct periodic model validations to identify performance issues. Provide modeling domain expertise in evaluating alternative modeling approaches. Perform R&D on analytical topics as assigned with focus on business application.

Requirements

+ 1-3 years of progressively responsible roles in retail and/or financial services credit risk management and analytics coupled with a degree in statistics, math or a related discipline (advanced degree is desired).

+ Sound knowledge of credit risk/portfolio management procedures and principles and knowledge and practical application of data mining and statistical principles involved in model development.

+ 1-3 years’ experience with developing statistical loss forecasting models including loan level and vintage models in support of CECL. Strong background in stress testing under various economic conditions.

+ Provide expert assessment of the quantitative aspects of CECL models and methodology including but not limited to assessment of key assumptions such as portfolio segmentation, look back period, loss emergence period, sampling, loss rate calculation approach , i.e. expected loss framework (PD/LGD/EAD). Conduct and provide assessment of econometric sensitivity, back testing over multiple time periods and end of life forecasts.

+ Strong background in building models across the customer risk life cycle. Model governance experience is a big plus.

+ Strong applied background in both traditional models (Logistic regression, Time series, Survival etc) and Machine Learning Models.

+ Top-notch analytical and communication skills with a proven ability to understand complex problems, detect trends, and understand data to develop and formulate solutions.

+ 2+ Experience with Python or R required.

+ 3+ years SAS experience required.


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